Each spring since 1933, the park has hosted the annual Kentucky Mountain Laurel Festival.

The name was changed in 1938 in order to avoid confusion with the newly formed Cumberland Falls State Resort Park.

In 1933, during the Great Depression, President Franklin D. Roosevelt assigned the Civilian Conservation Corps to numerous infrastructure projects.

At this park, they began constructing the main office building, cabins, roads, bridges, shelters, and hiking trails, creating a resource for all the citizens.

For Pine Mountain State Park, they constructed a new wing to the lodge, adding 30 more guest rooms; they also built 10 additional cottages, a swimming pool, and a golf course.