The new facility will be built on the site of a former hangar at the south end of the airfield off Palatine Road.
The hangar was demolished earlier this year.
Customs officials will use the facility to clear international aircraft and passengers. It will include secure processing and detention areas, bathrooms for passengers, a staff locker room and other amenities.
The 3,400-square-foot facility is expected to cost $3 million. The federal government ordered the project but isn't paying for it.
Chicago Executive is co-owned by Wheeling and Prospect Heights. The Wheeling village board and the Prospect Heights city council oversee the airport's spending.
Village of Wheeling President Pat Horcher, Prospect Heights Mayor Nicholas J. Helmer and airport board Chairman Court Harris were among the attendees at Thursday's event.
The customs agency clears hundreds of flights and thousands of passengers per year at the airport, airport officials said in a news release. The agency has been operating in rented office space at the airport.
Construction of the new facility is expected to be completed in spring 2021.