Martinsburg is a city in Audrain County, Missouri, United States. The population was 304 at the 2010 census. Martinsburg was founded in …Martinsburg is a city in Audrain County, Missouri, United States. The population was 304 at the 2010 census. Martinsburg was founded in 1857 and was named after its founder, William R. Martin. Martinsburg is located at 39°6′4″N 91°38′50″W / 39.10111°N 91.64722°W.