From the library's website:
The Warren County-Vicksburg Public Library was founded in 1916 with the help of funds from library philanthropist Andrew Carnegie. It was housed in a building at the corner of Monroe and South Streets. For many years, a separate branch housed a library for the African-American citizens of the community. The two were combined in the 1970's and in 1979 moved into the spacious structure at 700 Veto Street, the present library site.
The Warren County – Vicksburg Public Library serves the nearly 50,000 residents of Warren County from this building located in the downtown area near the scenic Mississippi River. For the period of 1974 through September of 1986, the library was part of the Jackson Metropolitan Library System. When the system was disbanded in 1986, the library once again became a single-county unit. 
From The Vicksburg Post newspaper:
Eventually, a site on the west side of Monroe Street, opposite what is now the Memorial Rose Garden, was purchased, and on April 5, 1915, H.H. Havis, a local contractor, won the bid for the library’s construction.
The building was ready for opening ceremonies March 7, 1916.
"Everyone greatly admired the fine building, with all its excellent equipment and furniture," wrote [Marion Bragg in a history of the public library]. "One of the speakers pointed out that all it needed now was books."