The community is named for the wife of the first postmaster, but also to honour Saint Walpurga, an 8th century English nun educated by the Benedictines, who was canonized for a life dedicated to evangelical work among the German people.

The town and surrounding area were originally settled by Germans between the 1910s and 1930s, with a few Polish, Ukrainian and French settlers arriving later.

The Canadian Northern Railway (CNoR) continued the extension of its northwest branch line from North Battleford, reaching St. Walburg in 1919.

[2][3] This caused a boom in the area, with many homesteaders arriving within months, now able to deliver their production to the grain elevators at St. Walburg.

The Canadian National Railway abandoned the entire branch line in 2005, when the remaining grain elevators closed.