According to legend, King John was thrown from his horse in the ford crossing Skjern river in 1513. He died on 20 February of that year, most likely from pneumonia as a result of the lake's cold water.
In 1875, the a station on the Esbjerg–Struer railway line opened in Skjern. The town then became the site of a railway junction in 1881 when the Skanderborg–Skjern line opened. The town grew rapidly as a result of the railway traffic. In 1879 it consisted of a church and parsonage, school, inn, general store, and a smattering of farms and houses.[4] By 1904, the town had more than 1120 inhabitants, as well as several schools, mission houses, banks, hotels, and industrial works.[5] In the mid 20th century, the town's economy was primarily based upon industrial work. According to the 1930 census, of Skjern's 2,985 residents, 94 worked in agriculture, 1146 in industry, 424 in trade, 496 in transportation, and 298 in housework.[6]
For a short period around 1940, Skern was the common spelling used for the town.[7] In 1958, the town was designated as a market town (Danish: købstad), though the designation lost its official significance in the 1970 municipal reforms. Through the reforms, Skjern became the seat of the newly formed Skjern Municipality which included the parishes of Bølling, Dejbjerg, Faster, Hanning, Skjern, Stauning, Sædding, and Sønder Borris. The municipality has since been merged to form Ringkøbing-Skjern Municipality.