The first European settler was Elijah Combs who built a house near the river in 1795. In 1821, the village became the seat of the local government area called Perry County. The village was first called Perry County Court House. The town was called Hazard in early records, and the post office, built in 1854 was called Hazard. The name became official in 1884. The name Hazard came from Oliver Hazard Perry, a naval hero from the Revolutionary War of 1812.