Connellsville was officially founded as a township in 1793 then as a borough on March 1, 1806, by Zachariah Connell, a militia captain during the American Revolution.

Due to the city's location in the center of the Connellsville Coalfield, coal mining, coke production, and other accompanying industries became the major sources of employment and revenue during the late 19th and early 20th centuries.

In August of 2016, the city was hit with a major rainstorm that flooded the local community known as Dutch Bottom, along with several other areas.

In 2023, Pennsylvania Governor Josh Shapiro chose to use Connellsville as the backdrop for his launch of the state's new "Office of Outdoor Recreation".

Its location in a hollow contributes to many unique features, which include an underground entrance tunnel along Connell Run, a castle lookout up above, a large outside stage bandshell, many stone walls and pillars, and a waterfall at one end.

The Baltimore and Ohio Railroad (now CSX Transportation) entered Connellsville on the right (east) side of the Youghiogheny River.

This main line originated in Baltimore, passed through Cumberland, Maryland heading west followed the river to Pittsburgh, then continuing on to Chicago.

The Norfolk & Western branch was acquired by the Wheeling and Lake Erie Railroad, which built a new connection on the left side of the river to CSX, which severed the old line across the bridge.

The former Western Maryland Railroad and Pittsburgh & Lake Erie lines are now the part of the Youghiogheny River Trail.

Historically, the mining and steel working Connellsville-Greensburg-Scottdale-Jeannette-Mt Pleasant-Irwin-Latrobe area was served by a 339-mile interurban trolley system, the wide track gauge West Penn Railways.

Before the better economy of the area plus improved roads allowed more ownership and use of automobiles, the run every hour 5 cents a ride bright orange West Penn trolleys provided reliable local transportation.

Pennsylvania Route 201 ends in Connellsville, and PA 711 serves as the main street through downtown before heading into the local mountains.