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The Saratoga Museum is housed in the town's c. 1915 Union Pacific Railroad Depot. Originally placed in Saratoga for the Saratoga and Encampment (S&E) lines, the goal of the rail line was to transport copper from Encampment and lumber from Saratoga. The depot is built out of cedar wood to help it resist bugs and the harsh weather of Wyoming.

The museum opened in 1980 but is no longer on its original site. When approached about opening a museum, the Union Pacific agreed to donate the building but not the land it was on. In 1979 the depot was moved across the river to its current home across from Saratoga's airstrip, Shively Field.

The museum provides an opportunity to explore the Platte Valley and offers the ability to preserve local artifacts and history. It is known for its gem, mineral, and fossil exhibits from both Wyoming and the world. From Chinese jade to diamonds found in Carbon County, the gem displays are the some of the most inclusive in Wyoming.

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The museum grounds feature an original one-room cabin that was built by the Wiant family who are valley pioneers, and houses a blacksmith collection. The grounds are also home to an original emergency/noon whistle, a sheep wagon – which was donated by the Savage family, a pavilion for weddings, reunions and special events and a Union Pacific  caboose and rail car.