This is the fourth train station at the intersection of Higgins Avenue and Main Street. The Canadian Pacific Railway had been there since 1881, when their railway line reached Winnipeg, and had been undertaking steady improvements as the railway economy across Canada continued to grow.

For their fourth and largest version in 1905, architects Edward and William Maxwell were hired. The Beaux-Arts design for the building was meant to be stately. Red brick and grey limestone create a two-toned facade that was highly unusual for beaux arts structures.

Four stone columns line the entrance, supporting the pediment which is topped by a distinctive large clock. Exterior landscaping created a distinctive landmark, and efforts were undertaken to ensure that the station made an impact the moment you stepped off the train. An arch of backlit amber glass was set into barrel vault ceiling of the rotunda, surrounded by various guest services including a dining room and telegraph office. Marble was used liberally: on the floors, on the wainscoting, and even the bathroom walls.

To the south, along Higgins Avenue, was the Royal Alexandra Hotel, providing luxury accommodations to travellers. North, across the tracks, were the less luxurious immigrant halls – housing new immigrants.