With the Great Depression beginning in 1929 and lasting throughout the 1930s, Okolona was hard hit. The U.S. Census figures indicate a 47% loss in population from 1920 to 1940. All three banks closed and none existed at all for several months. In 1934, the Mobile and Ohio Railroad provided the only major payroll in Okolona. The only substantial new construction during the 1930s was the U.S. Post Office, built in 1937, with Public Works Administration funding.

Soon after World War II, Okolona began a short period of growth, according to the U.S.