In the mid-1850's, when the Union Pacific railroad decided to go through Wyoming instead of through Colorado, many people moved from the territory; Denver itself was shrinking. Former Governor John Evans rescued the Colorado Territory by promoting a connecting railroad from Denver to Cheyenne, Wyoming. The new railroad, the Denver Pacific, received no federal bond subsidy as had the Union Pacific, but Congress provided a generous land grant to encourage investment. Grading began in 1868, and the railroad was completed in June, 1870.

Denver Pacific agents encouraged settlers to purchase land on the company's grant which resulted in the settlement which is now the Town of Nunn.

The railroad also played a significant part in the origin of the town's name. As the story goes, an early resident flagged down a locomotive pulling a passenger train as it steamed towards the catastrophe of a burning railroad bridge. The alert settler's name was Tom Nunn. In appreciation, the railroad allotted a square mile of ground for settlement and named the Town after him. The Nunn depot was built in the summer of 1908 following the town's incorporation that spring.