The name of the river is derived from the French for "misfortune." The name was attached to the river by French Canadian voyageur trappers working for the North West Company on the Snake County Expeditions of Donald Mackenzie as early as 1818 for the unfortunate circumstance that some beaver furs they had cached there were snatched by Indians. The name first appears in the record in 1826 when Peter Skene Ogden, a fur trapper with the Hudson's Bay Company, referred to it as "River au Malheur (from "rivière au Malheur", literally: River of the Misfortune)" and thereafter as "Unfortunate River."