E. E. Sheldon platted the town in 1882, deeded half of it to the railroad for locating the town there, sold a few lots, and then sold out in 1882.  Sheldon was incorporated in 1883.

Sheldon was the first railroad town and the first grain point.  The first train reached Sheldon on November 4, 1882. The Northern Pacific elevator company was built before the railroad got there and nearly 300,000 bushels of grain were sold there the first fall.

By 1885, the town had three elevators, general stores, two drug stores, a bank, a school, two churches, four saloons, an opera house, and the Sheldon Enterprise began publication in February.  Sheldon also has the largest artesian well in the area. Sheldon hit its peak between 1910 and 1920.  Since then, it has suffered a steady loss of population and business.

The population of Sheldon in 2020 was 168 and the total area is 0.41 square miles with all of it being land.