Sjo was built as the residence of the widow of prost Andrew Christian Krog in 1795 with the permission of the king in Copenhagen. Prost Krog was long ill, and wanted to build a private home for his wife and children, so they had a place to move to after his death. Krog even paid for the construction of Sjo, and Mrs. Else Marie Krog moved in during 1797, after her husband's death.
Krog's successor was prost William Cornish Lassen. He bought Sjo in 1810, but never lived here himself. His son, Albert, was also prost here at Gran. He first married Krog's daughter, who died in childbirth only 25 years old. Later Albert got married with "Christiania's beauty," Dorothea Andrea Lange. When Dorothea became a widow in 1834, she moved to Sjo to stay with her children. Dorothea stayed at Sjo until her death in 1867. In this period there was a lot of activity here with farming and several servants.
The poet Aasmund Olafson Vinje lived here during his honeymoon in 1869, and he died there in 1870. He is buried in the cemetery at the sister churches.
The house is privately owned but is open for tourists by appointment.