Colfax was founded in 1912 as a small agricultural community within the Wellington Rural Municipality No. 97 in southeastern Saskatchewan. The post office, a key indicator of settlement, opened on August 1, 1912. The settlement was established primarily by American immigrants from Iowa, drawn to the Canadian prairies by promises of fertile land under the Dominion Lands Act, which offered homesteads of 160 acres for a nominal fee to qualified settlers. These pioneers, many with farming experience in the U.S. Midwest, sought to replicate their agricultural lifestyles amid the open plains near Weyburn, a regional hub that facilitated early access to supplies and markets.

The name Colfax was chosen by B.A. Brown, one of the early organizers, in homage to Colfax, Iowa, underscoring the strong migration ties between the U.S. Midwest and Saskatchewan during the early 20th century immigration wave. Land acquisition began with homestead applications processed through the Dominion Lands Branch, where settlers like Brown and other Iowa families filed claims in townships 11 and 12, range 15 west of the second meridian. Establishing farms proved challenging, with pioneers facing harsh weather, rudimentary infrastructure, and the labor-intensive task of breaking sod on the virgin prairie using horse-drawn plows and early mechanized equipment. Despite these obstacles, the community coalesced around shared Protestant values and cooperative efforts to clear land for wheat and mixed farming. Among the first key events was the arrival of core families in 1912, including the Browns and others from Jasper County, Iowa, who constructed initial sod houses and dugouts for shelter while organizing basic services. By 1913, a school district was formed, marking the onset of formal community structure, and early religious gatherings laid the groundwork for a United Church congregation. These developments reflected broader patterns of rapid settlement in the Souris Valley, where American immigrants contributed significantly to Saskatchewan's agricultural expansion before World War I.

During the 1920s and 1930s, Colfax experienced modest growth as a rural community, evidenced by the continued operation of its post office and school, which supported local families amid the broader agricultural expansion in Saskatchewan. The Colfax school, established around 1914, and the post office, managed by figures such as Albert Rutherford Phillips from 1922 to 1944, reflected stable community infrastructure during this period.