Vandalia is a city in Audrain and Ralls Counties in the U.S. state of Missouri. The population was 3,899 at the 2010 census, which includes about 2000 prisoners incarcerated at the prison located within the City Limits.The Audrain County portion of Vandalia is part of the Mexico Micropolitan Statistical Area, while the Ralls County portion is part of the Hannibal Micropolitan Statistical Area.