If we rely on Greek mythology, Sikinos took its name from Sikinos, son of King Thoas of Lemnos. Legend says that when the women of Lemnos killed in a moment of madness all the men of the island, only Thoas managed to escape and reach the island then known as Inoi. Here he had a son, Sikinos, from which the island acquired its name.

According to experts, Sikinos was already inhabited from the Mycenaean times. Its first inhabitants were probably the Ionians, while Sikinos later joined the Athenian Alliance. Sikinos' story follows the fate of the other islands in the Cyclades passing successively under Roman, Byzantine and Venetian rule. During Venetian, Sikinos along with many other islands in the region became part of the Duchy of Naxos.

In 1537 with the notorious Barbarossa raids in the Cyclades, Sikinos passed into the hands of the Ottoman Empire, from which it would be released with the Greek Revolution of 1821. Sikinos became a part of the newly established Greek state, right from the start.