The club were founded in 1905 as Baldock Football Club, and joined the Northern Division of the Herts County League for the 1905–06 season. They won the division in 1920–21 and finished as runners-up in the championship play-off. In 1921 they were renamed Baldock Town, and league reorganisation saw them placed in the North Eastern Division. The league was reduced to a single division in 1923, and the 1924–25 season saw the club finish as runners-up. However, the league was disbanded at the end of the season, and the club joined Division One of the Bedfordshire & District County League (later renamed the South Midlands League), with the reserves playing in Division Two. They won the league in 1927–28, and although they finished bottom of Division One in 1929–30, they avoided being relegated to Division Two. They remained in Division One until World War II.