NY 39 was assigned as part of the 1930 renumbering of state highways in New York and originally extended from NY 20A (now NY 5) in Dunkirk to US 20 and NY 5 west of the city of Geneva. In between, NY 39 passed through the villages of Pike, Dansville, Naples, and Rushville. The portion of the route from Dansville to Geneva had previously been designated as NY 52. At the same time, a highway connecting Pike to Perry Center via Castile and Perry village was designated as NY 245. US 20 was realigned between Geneseo and East Avon to use NY 254 (current US 20A) and NY 2 (now NY 15) instead. The former routing of US 20 between Geneseo and Avon was redesignated as NY 20D. NY 245 was realigned north of Perry to follow a new highway (modern NY 39) to an intersection with US 20 southwest of Leicester .