There are two versions, as far as the name of the island is concerned. According to the first one, Koufonisia was the ancient name of the gulf which is between Koufonisia and Glaronisi. As a matter of fact, the full name was "Koufos Limin", which means lee port, where ships can anchor.

According to the second version, which is supported by Manesis, this name was chosen because of the large number of caves and sediments without boisterous rocks that are found on the island. Anthony Miliarakis, in contrast with these two theories, wrote in his book in 1920 that Pano Koufonisi was known as "Fakousa" and Kato Koufonisi as "Pino".

According to archaeological findings, Koufonisia were inhabited since Prehistoric Times. Excavations in Epano Mili brought into light important findings that date to the first years of Cycladic Civilization. One of the most important findings from this period is a fryer shape vessel with a nine-ray star on it, exhibited in Naxos' museum. Excavations in the east shore brought into light findings of the Hellenistic and Roman times.

In the course of history, Koufonisia followed the fate of the rest of Cyclades islands. They were dominated by the Venetians and the Turks, who, mostly in the 17th century, run against each other for the governance of Aegean Sea. Residents of Koufonisia, either because they needed to or because they wanted to, were often joining their forces with the residents of Mani or with other pirates, who were using the channel between Pano and Kato Koufonisi as a safe shelter. Koufonisia were set free along with the rest of Cyclades islands and incorporated with the young Greek nation in 1830.

During occupancy (1941-1945), residents had difficult times. In the postbellum period the island had 1000 inhabitants. However, many of them migrated to Athens in order to find a job and many men left to find job as grummets. Residents were going to the other greek islands and the mainland by small boats (caiques) and by a ship that was going to Heraclia every eight days. Those years, there was only one doctor in Small Cyclades and when the weather was bad, he could not travel to Koufonisia.