The library was first established as a children's library in 1915 by the Monday Morning Musical Club and was named the Elodie Farnum Memorial Library, in memory of a gifted child violinist who died young. The early library occupied space in the Rochambeau School. In 1930, the books in this collection were transferred to PPL, which built the Rochambeau Branch Library at the corner of Hope Street and Langham Road. The building was designed by Clark & Howe in the same Georgian Colonial architectural style and according to the same general layout as the other branches built by PPL at this time.
In the early years of the 21st century Rochambeau Library underwent a major renovation, at a cost of $5.1 million, with the Rochambeau Friends of the Library contributing nearly $800,000 (about 15% of the total costs) toward the project. PPL applied for funds from the state through the Public Library Construction Reimbursement Program to help defray the costs of this project, and the library was allocated just over $2 million, or approximately 40% of the total cost, to be paid to PPL in yearly installments over a twenty-year period ending in 2024.