Unlike many other WNBA teams, it is not affiliated with a National Basketball Association (NBA) counterpart, although the Chicago Bulls play in the same market.

On September 20, 2005, the team name and logo formally debuted at an introduction event held at the Adler Planetarium.

The event was highlighted by the appearance of several star players, including Diana Taurasi, Temeka Johnson, Sue Bird, and Ruth Riley.

Among the notable selections were Brooke Wyckoff from the Connecticut Sun, Bernadette Ngoyisa from the San Antonio Silver Stars, Elaine Powell from the Detroit Shock, and Stacey Dales (who had retired prior to the 2005 season) from the Washington Mystics.

The team was vastly improved in the 2007 season, but still finished with a 14–20 record and were two games behind the final playoff spot in the Eastern Conference.

Fowles was injured for most of the season (she was, however, selected to play on the winning U.S. team at the 2008 Summer Olympics, where she average 13.4 points and 8.4 rebounds per game).

Toliver had recently won the NCAA Women's Basketball Championship with the University of Maryland, where she had shot a game-tying three-point basket to send the game into overtime.

The team's roster underwent several changes, highlighted by the trading away of Candice Dupree and Kristi Toliver and the acquisition of Shameka Christon and Cathrine Kraayeveld.

Guard Allie Quigley, who had grown up in nearby Joliet, Illinois, was named Sixth Woman of the Year.

In February 2015, the Sky acquired Chicago native Cappie Pondexter from the New York Liberty in a straight-up trade for Epiphanny Prince.

The Sky hired Amber Stocks as head coach and general manager, replacing Chatman, on December 6, 2016.

[16] During these seasons, Vandersloot led the league in assists (setting a new assists-per-game record in 2017) and Quigley won back-to-back Three-Point Contests at the All-Star Game.

The Sky selected Katie Lou Samuelson in the first round of the 2019 WNBA draft and traded away Alaina Coates.

In the playoffs, they defeated the Phoenix Mercury in the first round, but then lost to the Las Vegas Aces on the road on a buzzer-beater in the final seconds.

Parker, who had grown up in Naperville, Illinois and played her first 12 seasons in the league with the Los Angeles Sparks, stated that she wanted to return to her hometown team.

In the offseason, longtime center Dolson left the team in free agency and the Sky added former Finals MVP Emma Meesseman.

The 2023 season marked a period of significant change for the Sky, with many longtime players departing in free agency, including Vandersloot, Quigley, Azurá Stevens, and Parker.

The team finished as the eighth-seed with a 18–22 record and lost in the first round of the playoffs to the eventual champion Las Vegas Aces.

[20] In October 2023, the Sky named Teresa Weatherspoon as the new head coach and Jeff Pagliocca as the new general manager.

[21] In another turbulent off-season, starters Courtney Williams and Smith left the team in free agency, and Copper was traded to the Mercury.

[22] Through various trades, the Sky eventually acquired the third and seventh pick in the 2024 WNBA draft, selecting Kamilla Cardoso and Angel Reese.

[28] The Skye character was created under the direction of Chicago Sky CMO Tania Haladner and designed by the mascot designer Tom Sapp and the team at Real Characters Inc,[29] who have created other mascots for teams including the Portland Trail Blazers, the University of Florida, and the Denver Nuggets.