In this work, the design and construction of the Keda Space Plasma EXperiment (KSPEX), which aims to study the boundary layer processes of ionospheric depletions, are described in detail. The device is composed of three stainless-steel sections: two source chambers at both ends and an experimental chamber in the center. KSPEX is a steady state experimental device, in which hot filament arrays are used to produce plasmas in the two sources. A Macor-mesh design is adopted to adjust the plasma density and potential difference between the two plasmas, which creates a boundary layer with a controllable electron density gradient and inhomogeneous radial electric field. In addition, attachment chemicals can be released into the plasmas through a tailor-made needle valve which leads to the generation of negative ions plasmas. Ionospheric depletions can be modeled and simulated using KSPEX, and many micro-physical processes of the formation and evolution of an ionospheric depletion can be experimentally studied.