The town's expansion in the 19th century was the result of the newly created Skjern railway station.

According to legend, King John was thrown from his horse in the ford crossing Skjern river in 1513.

In 1879 it consisted of a church and parsonage, school, inn, general store, and a smattering of farms and houses.

A statue of Holger Danske by Hans Peder Pedersen-Dan was moved to Skjern in 2013 from the Hotel Marienlyst in Helsingør after it was sold on an auction site.

Skjern is the home town of the player character in the computer roleplaying game Expeditions: Viking.