The "Mississippi" was built in 1834 for the Mississippi Railroad in Mississippi, USA. Manufactured by Brathwaite and Ericson in England, it is thought to be the first locomotive in the American South and the oldest to operate in the state of Mississippi. The "Mississippi" (and approximately 13 similar locomotives) were likely shipped to the US in pieces where it would later be assembled. The locomotive is thought to have sold for about $2,000.00 which would put it somewhere in the range of $59,000 today, if adjusted for inflation. Interestingly, the manufacturer exited the locomotive business in 1841. The Mississippi is one of a handful of surviving British locomotives in the United States. Others include the John Bull, imported by Pennsylvania Railroad predecessor Camden & Amboy, which is now displayed at the Smithsonian Institution in Washington D.C.

At one point, around 1880 the locomotive was used for hauling gravel after a period of disuse. Eleven years later, in 1893, it found its way into the Illinois Central where it was thoroughly restored to participate in in the Colombian Exposition of 1893 held in Chicago, IL. During the late-1920s, Illinois Central made arrangements to convey to the locomotive to the newly formed Chicago Museum of Science and Industry. It made appearances at the Century of Progress World's Fair in Chicago held in 1933 and 1934. And it was finally made a part of the museum's permanent collection in 1938. At that time it was displayed with an awkward, and historically questionable wooden frame cab.

In 1965, Illinois Central gave the locomotive a thorough restoration for the museum. This was aimed to restore the engine's appearance to as close as possible to the way it would have looked more than 130 years earlier. However, since commercial photography didn't exist at the time of Mississippi's construction, how the locomotive actually appeared when it was built can only be surmised by contemporary sketches of similar engines.