Sheldon itself began to take form in 1906 when the Wisconsin Central Railroad built its line a mile east of Fern, over the Jump and through the woods on its way to Superior. (That rail line still exists as the modern Canadian National line.) Just north of the river, the Wisconsin Central built a depot, a section house, and a water tank for its trains, and named the station "Sheldon," after one of its officials. That same year Ed Lacy built a general store across from the depot, later known as Brown's store, then Mau's. In 1907 Bill Huggins moved his saloon from Fern into Sheldon. Max Dietz also moved his general store from near the cemetery in to town. Eventually all businesses and schools moved, until now all that remains out by Fern is farms, homes, and the cemetery.