Following the Canadian government's implementation of the Dominion Lands Act in 1872—which offered free or inexpensive arable land to European immigrants willing to cultivate farms—a small trickle of homesteaders began exploring central Alberta. The permanent foundation of the settlement occurred in May 1894, when Norwegian farmers Thore Grue and Ole Movald relocated their families to the area. They were soon followed by a wave of other Scandinavian families (primarily of Norwegian and Swedish descent) throughout the rest of the 1890s and early 1900s, with additional families arriving from U.S. Midwest states like Minnesota, the Dakotas, and Wisconsin.

The early settlers originally named the community Tordenskjold (frequently spelled Thordenskold locally). The name was chosen to honor Peter Tordenskjold, a famous 18th-century Norwegian naval hero. As the population grew with large families, infrastructure followed: The First School: In 1898, Thore Grue, Ole Movald, and their neighbors hauled logs from a nearby lake to Grue’s sawmill to mill building materials. They constructed the town's first schoolhouse, which opened with 29 students ranging in age from 7 to 17. The schoolhouse also doubled as a gathering place for worship. Grue organized a Norwegian Lutheran congregation named "Scandia." Over the next decade, as more Scandinavian immigrants arrived (including Swedish Lutherans), additional churches were built in the surrounding area. The historic Scandia Lutheran Church remains an active local landmark.

In the mid-2010s (commonly cited as 1915), the Canadian Northern Railway (CNR) constructed a rail line through the community. Railway officials and conductors found the original name, Tordenskjold, too difficult to spell, pronounce, and fit on train manifests. Residents asked the railway to choose a replacement name, and the settlement and rail stop were officially renamed Armena. The Post Office opened May 1, 1917. The precise origin of how the name "Armena" was coined remains a bit of local mystery.

Like many prairie hamlets, Armena experienced shifts through the mid-20th century, impacted by the World Wars, the centralization of schools, and the regional economic shifts triggered by Alberta’s 1951 oil discoveries. Armena was originally named Tordenskjold, in honour of Norwegian sailor Peter Tordenskjold, by the primarily Norwegian settlers who established the settlement in the 1890s.