NY 39 was assigned as part of the 1930 renumbering of state highways in New York to an alignment extending from Dunkirk in the west to Geneva in the east via Pike, Dansville, and Naples. From Pike eastward, NY 39 used large parts of modern NY 436 and NY 245. At the time, what is now NY 39 northeast of Pike was part of then-NY 245 from Pike to Perry and US 20 from outside of Leicester to Avon. US 20 was realigned between Geneseo and East Avon to follow a more easterly alignment via Lakeville, at which time the Geneseo–Avon highway became New York State Route 20D. Over the next decade, the Pike–Perry–Avon highway underwent several designation changes, culminating with the realignment of NY 39 onto it . The route was cut back to its current western terminus in the mid-1960s.