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The first incursions into the island of Pico occurred in the 15th century, but the first settlement of the region that would become known as São Roque occurred later. The first colonizers of Pico came to the area of Lajes.

The municipality of São Roque do Pico was created in 1542, when its citizenry petitioned King John of Portugal to provide them administrative autonomy from Lajes. At that time the civil parishes of São Roque and Nossa Senhora da Ajuda were established.

The little hermitage of São Roque, and chapel of Bom Jesus, was insufficient to handle the growing population. In 1714 it was decided to construct the Church of São Roque, which was completed 12 years later.

At that time the population was engaged in grape cultivation for the production of wine and fishing. The volcanic eruptions that occurred in the 18th century made much of the soil fertile resulting in the increased production of Verdelho wine, which was exported to America and across Europe.

In the 19th century, disease infected the vineyards of the north and slowly progressed throughout the island, devastating the wine-making culture until the introduction of new grape varieties. For this reason, the locals turned to other economic sources of growth, specifically concentrating on whaling in order to supplement the fishery. This resulted into the establishment of 5 separate factories along the coast in order support the transformation of whale fat into oils, perfumes and fertilizers.      

In 1942 São Roque do Pico became the home of the Fabrica das Armações Baleeiras Reunidas, which was a partnership among older companies which continued to function until the 1980s. Thereafter in the post-whaling period it was transformed into a museum to exhibit the artifacts of that era.