On first sight, Ross Castle appears to be the ruins of an ancient castle but is in fact a Victorian folly built in 1885. Following the arrival of the railways, the Manchester, Sheffield and Lincolnshire Railway built a mile-long promenade to prevent continuing coastal erosion of the cliffs on which the town is sited. The rail company decided to build the mock ruin as a visitor attraction and it was named after the then secretary of the railway company, Edward Ross. The top of the castle marks the original height of the clay cliffs which were being eroded by the sea.

After a period of closure, the castle was renovated and reopened in 2008 to the public. It is a Grade II listed building and the views of Cleethorpes promenade from the top of Ross Castle are described as wonderful.