Clayton is in the Kiamichi Valley in Pushmataha County and is situated at the junction of U.S. Highway 271 and State Highway 2. The town was initially called Dexter, and a post office was established on March 31, 1894. The post office name was changed to Clayton on April 5, 1907. The St. Louis and San Francisco Railway had built a line through the Choctaw Nation from north to south in 1886–87, with Dexter/Clayton developing as a lumber mill town along the route from Fort Smith, Arkansas, to the Red River.
The Frisco Depot was built in 1889 and is one of the few remnants from the town’s heyday as a lumber mill town. Almost all original features remain, although the shake roof was replaced with shingles at some point. The depot is eligible for listing in the National Register of Historic Places. It appears to be in stable condition, but continued exposure to the elements will make preservation difficult.