Lake Shetek State Park truly took form in the 1930s as part of a larger project on the lake. This was one of the more ambitious New Deal projects in Minnesota funded by the federal government to combat unemployment during the Great Depression. In addition to park amenities, the Works Progress Administration (WPA) planned to build six causeways across the lake, joining a series of islands with the east and west shores. The site was selected for recreational development due to the rarity of lakes in the area and to relieve heavy use of Camden State Park away.