Film cooling is a cooling technique widely used in high-performance gas turbines to protect the turbine airfoils from being damaged by hot flue gases. Motivated by the need to further improve the turbine hot section cooling performance, a mist/air film cooling scheme is investigated. A small amount of tiny water droplets with an average diameter of about 7 µm (mist) is injected into the cooling air to enhance the cooling performance. One key feature in understanding mist cooling is the ability to capture droplet information. In order to thoroughly investigate a two-phase flow, experimental and computational studies are needed. Designing an experimental setup for a two-phase flow experiment is challenging, therefore, the authors will dedicate this paper as Part I to discuss all the challenges faced in order to create a successful experimental facility for air/mist film cooling while Part II will discuss how to conduct a high-fidelity computational model for air/mist film cooling accompanied with a validation study by including detailed experimental conditions. This paper presents the experimental facility and instrumentation of an air/mist film cooling study with both heat transfer and droplet measurements. A wind tunnel system and test facilities are built. A phase doppler particle analyzer (PDPA) system is employed to measure the two-phase flow characteristics, including droplet size, droplet dynamics, velocity, and turbulence. An infrared camera and thermocouples are both used for temperature measurements. An extensive uncertainty analysis is performed to assist in identifying large uncertainty sources and planning for an experimental procedure. It was found during the experiment design process that resolving the mist agglomeration problem is the key in successfully generating a well-controlled mist/air mixture and reducing experimental uncertainties. The test apparatus has proven to serve the purpose well to investigate mist/air film cooling with both heat transfer and droplet measurements. Selected experimental data are presented.