The park was originally called "Miller's Glade" by the Miller family, who once owned the property. The family later changed the name to "Millersylvania," meaning "wooded glade." The park's 842 acres were homesteaded by Squire Lathum in 1855 before being sold to John Miller. Miller's family gave the property to the state in 1921, stipulating that the land must forever be used as a park.
Millersylvania's buildings were constructed in 1935 almost entirely by hand by the Civilian Conservation Corps. Relics of a narrow-gauge railroad, and several skid roads used in the 1800s by the logging industry, remain on park grounds. Stumps of trees still carry notch scars where springboards supported brawny loggers.