Vandalia is located at the site of an old trading post along the Milk River. The post office was established in 1904 by Henry Nelson. The building was constructed in a style keeping with the postmaster's native Denmark built out of huge, peeled and seasoned cottonwood logs. It is believed that St. Mary's Lodge in East Glacier National Park is modeled after this building.
Vandalia is located in northeastern Montana, on US Highway 2 between Glasgow and Malta.