Marshall is a city in Lyon County, Minnesota in the United States. The population was 12,735 at the 2000 census. Marshall is a regional center in southwest Minnesota, and the county seat of Lyon County. It is the headquarters of the Schwan Food Company and the home of Southwest Minnesota State University. Kublai Khan, a thrash metal band was formed here after Greg Handevidt left Megadeth. Also, actor Steve Zahn was born here.