Following the fire that destroyed the Byrne mansion, the Coes immediately asked the architectural firm of Walker and Gillette to build a new house for them at Planting Fields. The firm had designed farm buildings at Planting Fields and a house called Irma Lake Lodge at their Wyoming ranch in Cody. Walker and Gillette also designed at least eleven other country homes on Long Island, including a house in Southampton for Mai's brother, Colonel H.H. Rogers. W.R. Coe considered Stewart Walker a friend, and trusted his firm to design a grand new home for them at Planting Fields. Coe Hall was built between 1918 and 1921. The exterior walls of the house were completed in 1919, as the cornerstone on the north wall reflects. Scottish stone masons and construction workers lived at Planting Fields Building Coe Hall while they built Coe Hall. The workers toiled six and a half days a week, having half a day off on Sunday to attend church. During the construction, the Coes stayed at an old farmhouse on the property known as the White Cottage (razed circa 1972 by the State of New York due to its severely deteriorated condition). Finishing the new house's interior took an additional two years, with much of the stone carving and woodwork done on-site by the Boston firm of Irving, Casson and Davenport. Handrails, firescreens and hardware custom designed by renowned iron worker Samuel Yellin were installed in the house, while society artist Robert Chanler completed decorative murals in Mai Coe's bedroom and the family's breakfast room. Finally, antiques dealer and decorator Charles of London (Charles Duveen) was called in to fit out the interior in the "Olde English" style.

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