Armena was originally named Tordenskjold, in honour of Norwegian sailor Peter Tordenskjold, by the primarily Norwegian settlers who established the settlement in the 1890s. In 1911 the Canadian Northern Railway (CNR) began constructing a track through the settlement, which was still named Tordenskjold by locals. Some residents felt Tordenskjold was too difficult to pronounce, and asked CNR to decide upon a different name. The settlement (and associated railway stop) was subsequently renamed to Armena.
The Post Office opened May 1, 1917.