[3] Crosby was originally named Dayton in 1884, as a tribute to landowner David Day, who provided a right-of-way for the Yazoo and Mississippi Valley Railroad (Y&MV).

At that time, two Stephenson brothers from Michigan were building several sawmills in south Mississippi and purchased the Foster Creek Lumber Company landholdings.

[5] The Stephenson brothers had a new sawmill constructed as well as a new town that included modern homes, a commissary, and post office near the Y&MV railroad.

Crosby Sr., a wealthy, self-made lumberman from Picayune, Mississippi purchased Foster Creek Lumber and Manufacturing Company including the sawmill, the town of Stephenson, and 55,000 acres (22,000 ha) of timberland.

According to the 2020 United States census, there were 242 people, 99 households, and 59 families residing in the town; its racial and ethnic makeup in 2020 was 72.31% Black or African American, 22.73% non-Hispanic white, 4.13% other or mixed, and 0.83% Hispanic or Latino of any race.