Three challenges that faced Burnham as he created the Chicago World's Fair were his business partner's death, labor problems, and a very harsh Chicago winter.

Burnham's business partner, John Root, came down with a cold that turned into pneumonia. As a result, Root died in the middle of fair preparations. For Burnham, this was a stunning blow. Root had been his partner for eighteen years, and he couldn't imagine going on without him. The two knew each other's thoughts and relied on each other's skills. In fact, the blow was so great that Burnham considered quitting the fair, but he ultimately chose to push on.

Labor unrest emerged as laborers began to demand a minimum wage and eight-hour work days. Burnham was dependent on laborers to get the 200 buildings up in time for the fair's opening, and they did go up, despite the constant threat of strikes. At least until the winter of 1892, this was largely due to Burnham's compassion for the workers: he paid them even when they were sick, provided free medical care, and fed them three hearty meals a day, in addition to providing comfortable housing. However, keeping labor costs down was an ongoing problem.

Weather became a third challenge, as the winter of 1892 proved bitter. For example, when the temperatures dropped to ten below zero, water supply stopped flowing into Chicago, making it difficult for work on the fair to progress.