The territory encompassing present-day Horsham was part of the traditional lands of the Cree and Saulteaux First Nations, who adhered to Treaty 4, signed on September 15, 1874, at Qu'Appelle in southern Saskatchewan; this agreement ceded vast areas of the Qu'Appelle Valley and surrounding regions to the Crown in exchange for reserves, annuities, and other provisions. The treaty facilitated subsequent European settlement by opening the area to homesteading under the Dominion Lands Act of 1872, which offered 160-acre quarter-sections of land for a nominal fee to eligible settlers who improved the property through cultivation and residence.

Settlement in the Horsham area began in the early 20th century amid a broader influx of immigrants to southwest Saskatchewan, with homesteaders arriving primarily between 1908 and 1914 as part of the Dominion Lands Act initiatives to populate the prairies. Many early pioneers were German-Russian Catholics from regions such as Bessarabia, the Black Sea area, and the Crimea, who had previously settled in the Dakotas before moving north; these families established farmsteads focused on mixed farming and grain production in the Rural Municipality of Enterprise No. 142. The initial population consisted mainly of these European-origin farmers and their descendants, drawn by the fertile soils and government incentives, though exact numbers for Horsham itself remain sparse due to its small scale.

Key early infrastructure included the establishment of a post office named Horsham, after the town of Horsham in England, on September 1, 1912, initially at Section 28, Township 17, Range 29, West of the 3rd Meridian, which was relocated in 1927 to the NE 1/4 of Section 11 in the same township and range. The first Postmaster was W.H. Austin, who held the position from 1912 until 1923. By the late 1910s, community institutions emerged, such as the Zion Lutheran Church founded in 1919 two miles west and south of Horsham, serving the growing settler population with religious and social functions; nearby Catholic masses began as early as 1912 in private homes before formal structures were built. These developments marked the transition from isolated homesteads to a nascent community by the 1920s, with additional cemeteries and rural school districts like Haverhill SD 3852 supporting early residents.

The 1930s brought profound challenges to Horsham and the broader southwest Saskatchewan region during the Great Depression and Dust Bowl era. Severe droughts from 1929 to 1937 devastated crops, eroded soils, and led to widespread farm abandonments, as pulverized land from earlier cultivation blew away in dust storms, leaving little feed for livestock and causing economic collapse. In Saskatchewan, wheat prices hit record lows, provincial income fell by 90 percent in two years, and 66 percent of the rural population required relief assistance, prompting significant out-migration from the prairie dry belt, including areas around Horsham, where settlers fled to urban centers or across borders. World War II offered partial respite, with returning rains by the late 1930s and increased demand for prairie agricultural products like hogs aiding recovery, though farm mechanization remained constrained by wartime manufacturing priorities focused on military needs.

Post-war prosperity in the 1950s transformed agriculture in southwest Saskatchewan, including communities like Horsham. Mechanization accelerated with the adoption of rubber-tired tractors, self-propelled combines, swathers, and trucks, enabling farmers to manage larger acreages efficiently and boosting productivity through chemical fertilizers and weed control. This shift reduced reliance on horse power, which had been decimated by disease in the 1930s, and supported economic stabilization amid growing farm sizes. Infrastructure improvements, such as expanded provincial highway networks, enhanced connectivity to markets for remote rural areas.