Big Piney is the oldest settlement in Sublette County. It was founded in 1879, when rancher Daniel B. Budd and his partner Hugh McKay came with a thousand head of cattle from Nevada hoping to ship them, but got caught instead in severe winter weather in the Green River Valley. The following year, Dan Budd relocated his family to what is now known as Big Piney.

The town was named after Big Piney Creek. The creek took its name from the pine trees growing along the banks of the creek.

Cattle, oil, and natural gas extraction have traditionally been the primary industries for the area, and continue to this day.