[9] Originally known as Hog Bay due to the pigs released by French Commander Nicholas Baudin, Penneshaw was named after a combination of the names of Dr. F.W.Pennefather,[10] private secretary to Governor Jervois, and Flora Louisa Shaw, The Times colonial editor, a visitor to Government House.

[11] South Australia's first modern seawater desalination plant was established at Penneshaw in the 1990s, to supplement the town's limited dam water supply.

[13][14] Jetty extension works were undertaken by brothers J. and W. Tait of Port Adelaide[15] in late 1908, using methods similar to those used at Glenelg and Edithburgh.

As of 2013, an 800m coastal strip between Frenchman's Rock and Baudin Conservation Park is the focus site.

[39] Penneshaw is located within the federal division of Mayo, the state electoral district of Mawson and the local government area of the Kangaroo Island Council.