Named after Penrith in Cumbria, England. Watkin Tench was the first explorer in 1789 and named the river Nepean after Lord Evan Nepean, under-secretary to the home department. In 1804 Tench and Daniel Woodriff where granted land in the area along the Nepean River. In 1814 William Cox constructed a road across the Blue Mountains. By 1817 the initial settlement, though unplanned, was substantial enough for a courthouse to be established.
A post office was established in 1828 and in 1839 the Anglican Church of St Stephens was opened and consecrated. St Nicholas of Myra, the catholic church was opened in 1850.