The Duluth, Missabe and Iron Range Railway hauled iron ore in Minnesota. Iron ore is heavy and the DM&IR operated long trains of ore cars, requiring maximum power. These locomotives were based upon ten 2-8-8-2sthat Baldwin had built in the 1930s for the Western Pacific Railroad. The need for a larger, coal-burning firebox and a longer, all-weather cab led to the use of a four-wheel trailing truck, giving them the "Yellowstone" wheel arrangement. They were the most powerful Yellowstones built, producing 140,000 lbf (620 kN) of tractive effort, and had the most weight on drivers so that they were less prone to slipping.

Eight locomotives (class M-3) were built by Baldwin in 1941. The Yellowstones met or exceeded the DM&IR specifications, so 10 more were ordered (class M-4). The second batch was completed in late 1943 after the Missabe's seasonal downturn in ore traffic, so some of the new M-4s were leased to and delivered directly to the Denver & Rio Grande Western.