As early as 1882, a railroad line extending from Natchez to Jackson was constructed. Raymond was one of the small towns lucky enough to be situated on the line. The railroad was called the Little J to distinguish it from another railroad that serviced Jackson to New Orleans.

To accommodate passengers, the Raymond depot was built around 1889. For half a century, the waiting room of the depot was filled with passengers coming and going on the Little J. The railroad was later bought by Illinois Central and began to carry freight as well as passengers.

With the advent of the automobile, the train began to lose popularity. By 1945, passenger cars were removed from the line and the remaining cars only carried freight. When the railroad was discontinued altogether, the depot was used for storage. Around 1970, it was purchased for a private residence and renovated.

The Raymond Depot is listed on National Register of Historic Places.