According to the Domesday Book the place, later called Olnei, was held in 1086 by Geoffrey de Montbray, Bishop of Coutances, as its overlord.

[8] In the late 18th century, William Cowper and John Newton collaborated here on what became known as the Olney Hymns, which include Amazing Grace.

The museum was adapted from Cowper's former residence, which was given to the town in 1905 by the publisher William Hill Collingridge (who had been born in the house).

On hearing the bell a local housewife, who had been busy cooking pancakes in anticipation of the beginning of Lent, ran to the church, frying pan still in hand, tossing the pancake to prevent it from burning, and dressed in her kitchen apron and headscarf.

[5] In July 2022, following the securing of funding from MK City Council, the MK Community Foundation, the National Lottery Heritage Fund and Arts Council England, the town's Cowper and Newton Museum launched the "Amazing Grace 250" project to celebrate the 250th anniversary of the Amazing Grace hymn, featuring a host of exhibitions and special events in Olney, the wider Milton Keynes UA, and beyond.

The vast majority of Olney shops are independent, attracting shoppers from further afield to find the galleries, antique, rug and furniture sellers, as well as boutiques for interior design, fashionable clothes and perfumery.

There are restaurants, pubs, cafés and takeaways offering a wide variety of British and international food.

The closest passenger rail service is at Wolverton (approximately 8 miles (13 km) distant), with inter-city services from Milton Keynes Central and Bedford railway stations (each approximately 11 miles (18 km) distant).

Bus 21 (Red Rose) connects the town with Lavendon to the north-east, and Newport Pagnell and Central Milton Keynes to the south running approximately every hour from Monday to Friday.

Bus 41 (Stagecoach) connects the town with Lavendon, Bedford and Northampton, formerly running approximately every 30 minutes from Monday to Friday.

[24] However, in April 2023, Milton Keynes City Council stated intent to increase the frequency of the service by providing subsidised fares and discretionary funding using the UK Government's Bus Recovery Grant scheme, with the support expected to come into effect by June 2023.