The couple began planning the mansion when they were in their fifties. In 1925, they commissioned architect Bryant Fleming, of Ithaca, New York, to design the mansion. Honoring their heritage, the Paines wanted to build a showplace home in the style of an English country estate. Historically, such country manor homes took centuries to build, and thus featured multiple architectural styles. The Paines replicated this concept by designing each room to represent a different historical period, ranging from the sixteenth to the twentieth century.
Ground broke on the project in 1927, and the exterior was completed by 1930. However, the Great Depression intervened. Nathan and Jessie did not want to continue construction when the community was enduring such hardship, so the project was halted until 1946.
That year, Nathan and Jessie finalized legal plans to establish the estate as a museum, which was always their ultimate intention. In 1947, Nathan passed away at the age of seventy-seven and Jessie oversaw the remaining work to complete the mansion. The Paine estate opened to the public in 1948, without Nathan and Jessie ever having lived in the mansion.