The Coxs River rises in Gardiners Gap, within Ben Bullen State Forest, east of Cullen Bullen, and flows through the Megalong Valley and parts of the Greater Blue Mountains Area World Heritage Site including the Blue Mountains and Kanangra-Boyd national parks, heading generally south and then east, joined by fifteen tributaries including the Little, Jenolan, Kedumba, Kowmung, and Wollondilly rivers, before reaching its confluence with the Warragamba River to form Lake Burragorang. The river descends 931 metres (3,054 ft) over its 155-kilometre (96 mi) course.
The river is impounded at Lake Wallace where it forms a cooling source for Wallerawang Power Station; at Lake Lyell where it is used for water supply for the city of Lithgow and water cooling for Wallerawang Power Station; and at Lake Burragorang, a major water supply source for greater metropolitan Sydney.
To the Aborigines who lived in the area for thousands of years before white settlement, Coxs River was one of two corridors that could be used to cross the Blue Mountains, the other being the Bilpin Ridge, now the site of Bells Line of Road. Coxs River was the easiest way to cross the mountains, but this fact was unknown to the European settlers, for whom the mountains were a seemingly impassable barrier.
A former convict, John Wilson, may have been the first European to cross the Blue Mountains. Wilson arrived with the First Fleet in 1788 as a convict and was released in 1792. After this, he lived with the Aborigines and functioned as an intermediary between them and the settlers. In 1797 Wilson returned to Sydney, claiming to have explored up to a hundred miles in all directions around Sydney, including across the mountains. His descriptions and observations were generally accurate, and it is possible that he had crossed the mountains via the Coxs River corridor, guided by the Aborigines.
Governor Macquarie named both Coxs River and Coxs Pass in honour of William Cox, a military officer, roadmaker and builder. In 1815 the naming of the Coxs River is mentioned: