The nearby lake was given the name "Dauphin" by the explorer Pierre Gaultier de Varennes, sieur de La Vérendrye in 1741 in honour of the heir to the French throne. Settlers began arriving in the area in 1883 and two early settlements, Gartmore and "Old Dauphin" were established. With the coming of the railway in 1896 – the line ran roughly halfway between the two villages – settlement shifted to the present site. This coincided with the beginning of Ukrainian settlement in the area: previously most arrivals had been of British extraction.
Incorporated as a village in 1898 and as a town in 1901, Dauphin became an important centre for the transportation of grain. Farming still plays a central role in the economy of the area, but its role has been greatly reduced. The current mayor of Dauphin is Eric Irwin, a lawyer. Conservative Robert Sopuck has been the Member of Parliament for the Dauphin—Swan River—Marquette riding since November 2010. Progressive Conservative Brad Michaleski is the current Member of the Legislative Assembly. Dauphin plays host to several summer festivals, including Dauphin's Countryfest and Canada's National Ukrainian Festival. Dauphin is known as the "Garden Capital of Manitoba."
According to the 1996 Canadian census, Ukrainians constitute the largest ethnic group in the City of Dauphin, with 41.04% of the population. Almost 26% of the population can speak Ukrainian. 24.17% of the residents have English ancestry, 17.61% Scottish ancestry, and 12.3% Irish ancestry, and approximately 10% are of Aboriginal origin.