Denio (pronounced de-NYE-oh) takes its name from Aaron Denio, who settled near the Nevada and Oregon state line and built a sod and mud house in 1885. His homestead would become a station for travelers between the two states, and Denio had rooms to let and supplies for sale. Eventually the small town of Denio, Oregon developed near the station, and in 1888 gained its first post office. Mr. Denio remained here until his death in 1907.

By 1948, the Denio Hotel & Store were owned by Harrison Grove. In order to take advantage of Nevada's lower taxes, as well as legal gambling and cheaper liquor, Grove moved his businesses south over the state line, less than a mile away. Denio's other residents soon followed suit, and soon the entire town was moved to Nevada except for the cemetery. The post office for Denio, OR officially became Denio, NV on January 1, 1951. The quiet little town has changed little in the more than seventy years since.