The town has a long history dating to the 18th century with the presence of British and Canadian fur traders during the westward Canadian expansion. In 1799 the Hudson's Bay Company and the North West Company each established the Rocky Mountain House and Acton House fur trading posts. Trade with the local aboriginal peoples continued until 1821 when the companies merged, they continued to trade until 1875 and closed the Rocky Mountain House post. The name of the settlement however remained.
The Rocky Mountain House settlement also served as a launching point for many explorers such as David Thompson, in search for a passage west to the Pacific Ocean. Many travellers used this location as a stop on their way further west or northwest, just as they do into the 21st century.
The next wave of adventurers entered the region at the beginning of the 20th century in search of opportunities presented by lush farmland and the abundance of natural resources. Rocky Mountain House became a firmly established town by 1912. Settlers of Scandinavian origin made up a significant part of early 20th century settlement in the region
