The Yazoo and Mississippi Valley Depot is located in downtown Vicksburg overlooking the Yazoo River Diversion Canal, a tributary of the Mississippi River. The exterior brick walls of the two-and-a-half-story Georgian Revival structure are laid in Flemish bond with glazed headers repeated on every fourth course. The steep-pitch gambrel roof, with gable dormers along the east (facade) and west elevation, is accentuated by a prominent frame belltower composed of a two-stage cupola surmounted by a dome on an octagonal base. On the facade, a central free-standing portico and balustrade is carried by modified Tuscan columns. The five-bay portico separates two projecting and pedimented single-bay pavilions with a stylized modillioned cornice and semi-circular window in the tympanum of each. Double-hung sash on the two main floors have multiple lights in the upper sash and a single pane in the lower sash, with radiating stone voussoirs and keystone above each. The inset central section of the facade is articulated on the first floor by round-arched windows with keystones and archivolt trim. The three-bay north and south (side) walls are carried up as a parapet between the two end chimneys, and topped by a geometrically patterned jigsawn balustrade. A one-story circular frame portico on the south elevation is supported by Tuscan columns. The frieze of the portico entablature is enriched with triglyphs and guttae. The west (rear) elevation faces the railroad track and a shed-roof passenger waiting platform extends the full length of the building. The shed is supported by cast iron Tuscan columns.