In 1905, Mayo began develop plans to build his family a new home in Paintsville. He had originally planned to build around a twenty room home, but after visiting several other mansions in central Kentucky, he decided to build a much larger home. After hiring architect Herman Geisky and over one-hundred Italianstonemasons from Cincinnati, construction began in 1905.
Due to Paintsville's undeveloped state, construction of the mansion was not an easy task. Before the foundation could be built, the land had to drained and filled. The sandstone used in the construction was cut and shaped at Thomas Jefferson Mayo's (John Mayo's father) farm which was located across Paint Creek. The sandstone blocks were then transported across the valley from his father's farm to the construction site on an overhead tram, which was about 3/4 mile long. The stone columns were separated into three separate pieces and pulled up Paint Creek during the dry season by at least ten oxen.
Facade of Mayo Mansion
At the start of the mansion's construction, Paintsville had not yet received electrical service. Due to this, the original plans called for the use of carbide gas to provide lighting. But toward the end of its construction, it was announced that the city would be receiving an electrical service. The mansion was then wired, allowing it to have electricity. Also, because Paintsville had not received a public water system, water was pumped from a well into a cistern, which provided the mansion with running water. Rain water was also captured from the roof and was channeled into the cistern. In December 1912, after a cost of $250,000 ($6.11 million in 2014 dollars), the three-story, forty-three room mansion was complete.
Mayo died on May 11, 1914. Three years after his death, his wife, Alice Jane Mayo, and his two children moved to Ashland, Kentucky because of the isolation and lack of roads in the Paintsville area. Much of the mansion's interior, including the marble, tile, and furniture, was taken to Ashland where the family constructed a new mansion. The estate was sold to the Sandy Valley Seminary, which was renamed John C. C. Mayo College. After the college closed due to financial difficulties in 1936, the property and estate were given back to Alice. She then sold the property to E. J. Evans, who was a friend and employee of her husband. In 1945, Evans sold the mansion and property to Most Reverend William T. Mulloy, who was the Roman Catholic Bishop of the Diocese of Covington, Kentucky at the time. In October of the same year the Sisters of Divine Providence from Melbourne, Kentucky established Our Lady of the Mountains School, which still occupies the building today.