Nestled in the heart of the Nebraska Sandhills, Arthur is home to the Baled Hay Church, built in 1928. Because conventional materials were expensive and difficult to find in that time and place, the Pilgrim Holiness congregation built the church out of baled rye straw with a stucco coating. The church is listed in the National Register of Historic Place for its unique construction, associated with the history of settlement of the Sandhills.
Other points of interest in this tiny ranching community include the original Arthur County Courthouse and Jail, a tiny building located on Marshall Street between Fir and Elms Streets. Believed to be the smallest court house to have been used in the United States, it now serves as a museum.