Sheridan was originally part of the Indian Territory and has always been a small community. The first white settler of what would become Sheridan was John McBroom in the spring of 1859. He homesteaded 160 acres. The town was initially named Petersburg.

Citizens began moving toward incorporation of Sheridan in January 1890. There was some dispute among the petitioners about boundaries, and the final results were filed in February 1890. On April 14, 1890, the town of Sheridan was incorporated.

Sheridan gets its name from U.S. Army General Philip H. Sheridan.