Shillingstone features in the Domesday Book of 1086 as a settlement of 46 households, with meadow, woodlands and a mill, under the lordship of Ascelin Its name is a derivation of Eschelling's (or Ascelin's) town. It once had the tallest maypole in Dorset - 86 feet high.

In the first World War, it earned the title, "the bravest village in Britain", because of the high proportion of residents who volunteered to join the armed forces.

Shillingstone station still survives intact on the former line of the Somerset and Dorset Joint Railway now part of the  North Dorset Trailway. The station is one of the best-preserved on the Somerset and Dorset line since the railway's closure in 1966. It opened on Monday 31 August 1863 and closed just over a century later on Sunday 6 March 1966. The station is undergoing extensive restoration by the Shillingstone Station Project, supported by the North Dorset Railway Trust.