The history of Coral Bay really begins at "Maud's Landing". The landing of the schooner Maud in 1884 is the earliest recorded European activity in the region.

In 1896 a town site reserve was gazetted to protect the site of an existing jetty and government goods shed. In 1915 the town was officially named Maud's Landing. Maud's Landing played an important role in the settlement and development of the North West of Western Australia. The woolshed and jetty which included a tramway served the local pastoralists in the provision of supplies and in the outward shipment of wool and sheep from 1898 until 1947. Wood from the jetty was taken away and used at the whaling station at Ningaloo station near point Cloates. Only old pilings from the jetty remain today.

Three kilometres to the south of Maud's Landing a very beautiful bay called Bill's bay was fast becoming a popular recreational area both for locals and for the more adventurous fishermen. Bills Bay was named after Ruby May French, affectionately called 'auntie Billie'. She was the wife of Charles French, the owner of Cardabia Station, the property surrounding Maud's Landing and Bills Bay. The first building in Bills Bay was a holiday shack built in 1933 by Jack McKenna, the manager of Mia Mia station and used by him as a summer coastal retreat.

It was not until 1968 that formal settlement began at Bills Bay with the establishment of an hotel, caravan park and a service station. The Hotel was named the Coral Bay Hotel probably because of the outstanding Coral Reef. Consequently the settlement became known as Coral Bay.