Sheikhpura district came into existence ages ago in the time of Mahabharata. Myths say that in the age of Mahabharata Hidimba, a demon girl, lived on the hills located at the eastern end of this district. Bhima, a Pandava brother, married Hidimba and Ghatotkach was the name of their heroic son. Later, the hill was named as Girihinda which was derived from the name of Hidimba. Over the hill Girihinda village is located.

It is believed that about six hundred years ago the Sheikhpura city was founded by Hazarat Makhdum Shah Shoeb Rahamatullah Aleh who was a great Sufi saint. After he settled in the city, people started to settle down there by clearing the dense forest. Gradually the city became highly populated.

Sheikhpura served as the main administrative centre during the reign of Pallava Dynasty. The well known 'Dal Kuan' situated in the city was constructed by Sher Shah Suri, the famous Afghan ruler. Over time Dal Kuan became synonymous with Sheikhpura.

Sheikhpura had been given the status of Thana during the Mughal period whereas during the British Empire in India, it was declared as Big Kotwali. Sheikhpura had been accorded the status of a Block after the independence. Sheikhpura was upgraded to Subdivision status on 14th April 1983 while it became a district on 31st July 1994.

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