There has been a mill on the sit in Waltham since 1666 but the present six-storied windmill was built in the 1880s by John Saunderson of Louth using light coloured local bricks and coated in tar. The sails drive the grinding stones to produce flour, which is still milled today.
Alongside the mill, you can visit the Museum of Rural Life featuring many exhibits from the 1930s and 1940s and incorporates the RAF Grimsby exhibition. On site is also a miniature railway, cafes, shops, and more.