The General Pershing Zephyr was the ninth of the Chicago, Burlington and Quincy Railroad's Zephyr streamliners, and the last built as an integrated streamliner rather than a train hauled by an EMD E-unit diesel locomotive. It was constructed in 1939 with bodywork and passenger cars by Budd Company and diesel engine, electric transmission, power truck, and other locomotive equipment by General Motors Electro-Motive Corporation. Because its intended Kansas City, Missouri to St. Louis, Missouri route passed near the birthplace and boyhood home of famous World War I General John J. Pershing, the train was named after him. The power car was named Silver Charger, after Pershing's horse Charger, while the passenger cars were named after U.S. Army badges of rank—Silver Leaf, Silver Eagle, and Silver Star.
The train replaced the "Ozark State Zephyr", which had been inaugurated three years earlier. In September, 1938, a second trainset was added, the 9903, which had previously served as the "Mark Twain Zephyr" running between Burlington, Iowa and St. Louis via Samuel Clemens' birthplace of Hannibal, Missouri. The "Ozark State" service inaugurated operating out of Kansas City in the morning and St. Louis in the afternoon, with the second trainset alternating. The new equipment took over the original schedule, while the alternate timing was renamed the Mark Twain Zephyr (despite not operating through Hannibal).