Two men, W. F. Shultz and John C. Riffee, arrived at this location in 1897 to open a trading establishment with the local natives.

[a] They erected a building constructed of rock they gathered at the Kiowa Reservation, about 8 miles (13 km) southwest of their site.

A post office was established inside the store on July 12, 1898, with John Riffee named as the first postmaster.

According to the local newspaper, Rocky handled more than one-third of all mail delivered in Washita County in 1906.

[5] The Orange Blossom School System was organized about 0.5 miles (0.80 km) south of Rocky in 1902.

By 1906, Rocky's economic base had added three grain elevators, three cotton gins, and considerable hay and livestock.

[5] According to the United States Census Bureau, the town has a total area of 0.2 square miles (0.52 km2), all land.