The largest classroom building on the campus, Jesse Dunn Hall (located on the northeast side of campus), was completed in 1937 on the site of the original campus building, the Castle on the Hill. The building was dedicated on March 12, 1937, by Eleanor D. Roosevelt. By an Oklahoma Senate Concurrent Resolution, the new classroom building was named for Jesse J. Dunn, former Alva attorney and Oklahoma Supreme Court Justice.

An annex on the south was completed in 1968. Jesse Dunn Hall was completely remodeled in 1975. Housed here are the academic programs of business, history and political science, agriculture, social and community services including social work, sociology and criminal justice, and the mass communications program, which includes its radio, television and print areas. KNSU radio, NWTV-7 and the Northwestern News offices are located on the first level of the Jesse Dunn Annex. Founded in 1902, the Northwestern Museum of Natural History has grown to include outstanding natural life and historical collections. Located in Jesse Dunn, tours may be arranged through the Natural Science department chair. The university Printing Services office is located in Jesse Dunn.