The town of Greybull was founded at the confluence of the Bighorn and Greybull Rivers in 1906. Supposedly, the Greybull River is named after an albino American bison, a symbol with powerful spiritual significance to America's Plains tribes. In this area, the name "Greybull" dates back to the 1830's. While John Colter, formerly of the Lewis & Clark Corps of Discovery, traveled through the Bighorn Basin in 1807, he made no mention of this area. Maps from John C. Fremont's 1842-1845 expedition with Kit Carson and Basil Cimineau Lajeunese as guides show the Greybull River in its proper location. The first settler in what is now Greybull was John Gottlieb Borner, a settler who moved to the area from Lander, Wyoming after his wife died in 1886 (his wife was Lena Canary, sister of Martha Jane "Calamity Jane" Canary).

Greybull (the town) was founded in 1906, right after oil and gas were discovered in the area. Cattle and oil and gas attracted the Chicago, Burlington & Quincy Railroad. As the oilfield was developed, Standard Oil of Indiana and the Midwest Oil Company built refineries in Greybull. By 1920, Greybull was a growing and prosperous town with central power, water and light, indoor plumbing, a 2-story schoolhouse and a semi-pro baseball team playing in an industrial league. However, in 1921 the Midwest refinery was sold to Standard Oil and the baseball league was shut down. Standard Oil ran the refinery until 1948 when it was finally shuttered.

It was east of Greybull that Barnum Brown, financed by the Sinclair Refining Company, discovered one of the most significant beds of fossilized Sauropods in the world. It was that discovery that led to Sinclair adopting the dinosaur as its trademark. Further research uncovered fossilized deposits from both the Jurassic and Cretaceous Periods, with the Red Gulch Dinosaur Track Site proving to be one of the largest dinosaur track sites in Wyoming and one of the few on Earth dating from the Middle Jurassic Period: 160-180 million years ago.