Gary Lapointe had created this web page and posted it on his site. (I have modified it here because Gary, two others, and I, have worked quite a bit on this and have figured out the answer.)
Gary and I had a suspicion that this was NOT really a depot, but rather a hoax. Yankee humor. We thought someone had stuck the order board on the side of a building which stood about in the right place, and then put a "The Depot" sign on it.
After you look this over, click the link below to see what we uncovered about this depot mystery.
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Can someone explain the discrepancies among these views of Jaffrey/East Jaffrey?
The only station to use the name "Jaffrey" or "East Jaffrey" (the same station, according to Lindsell's Rail Lines of Northern New England) was the station on the original Monadnock RR (later the Cheshire RR, Fitchburg RR, and B&M RR). The depot pictured in this view of the depot known as East Jaffrey bears a close resemblance to the Peterboro depot, also original to the Monadnock RR.

The structure currently standing on Stratton St. in Jaffrey and said to be the Jaffrey depot bears some resemblance to the depot pictured above, though the apparent remodeling is fairly extensive and relationship between the original structure and this one is not exactly obvious.
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In any event, if this is the same depot as the one pictured above it, then is the depot pictured below a later depot, now gone? And if so, where was it?

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Next, I asked Alan Lepain what he thought about the suspicions Gary and I had.
Click here to get his thoughts on this one, and to see how it turned out.