Evidence of early human settlement in the area now covered by Kaeng Khoi district is found in the archaeological site of Ban Dong Nam Bo by the Pa Sak River, which revealed a late-prehistoric (iron age) settlement dated to 2,000–1,500 years before present,[1] and the cave of Tham Phra Phothisat in the hills to the district's east, which features Dvaravati-era Buddhist carvings tentatively dated to the 6th to 8th centuries CE.

It was, along with several outlying communities of Saraburi, mostly populated by forced Lao settlers from Vientiane, who had been brought as war captives following Siam's capture of the city in 1778 and again following the Anouvong rebellion in 1828.

Kaeng Khoi became an important trading outpost, as it was both a stop for smaller vessels traversing the Pa Sak (larger vessels could only reach as far as Pak Phriao, the current location of Saraburi town) and the beginning of the route through the jungles of Dong Phaya Fai (later renamed Dong Phaya Yen) which lead across a mountain pass into the Khorat Plateau.

The Pa Sak passed through steep hills north and upriver from Kaeng Khoi, and it became known as a site for nature excursions, according to writings by Prince Damrong Rajanubhab during the reign of King Vajiravudh (Rama VI, 1910–1925).

[5] When the Northeastern Railway was built during the reign of King Chulalongkorn, Kaeng Khoi became the site of a major rail facility, servicing locomotives used for the uphill climb into the plateau.

[6] Kaeng Khoi district partly covers the western fringes of the Dong Phaya Yen Mountains which separate central Thailand from the northeastern Isan region, and the western end of Khao Yai National Park occupies its southeastern tip, while part of Namtok Sam Lan National Park covers its southwestern corner.

[10] Mittraphap Road—designated National Highway 2—and the State Railway of Thailand's Northeastern Line cross the district from west to east, running roughly parallel to each other.