Consequently, as part of his overhaul of the curriculum, Wilson proposed a new classroom building to accommodate the new preceptorial approach. It would be designed in the Collegiate Gothic style then coming into favor.

The result was McCosh Hall which paralleled McCosh Walk on the northern side. Designed by Raleigh Gildersleeve, who was responsible for designing a number of eating clubs as well as Upper and Lower Pyne dormitories on Nassau Street, McCosh was an "L"-shaped building 400 feet long, with a 100-foot extension running north along Washington Road. This extension contained McCosh 50, a large lecture hall (now known as the Harold Helm '20 Auditorium).

Construction began in 1905 and was completed in 1907. At the time it was built, its neighbors were Dickinson to the north and Marquand Chapel to the northwest; Prospect House and newly built 1879 Hall lay to the south.

An early example of Collegiate Gothic at Princeton --only Pyne Library, the Blair-Little-Gym complex, and 1879 Hall predate it -- McCosh had a smooth limestone exterior. Its flying buttresses were then new to Princeton, although many later structures on the campus featured these elements.