The Romans built a fort at Horncastle, which possibly became a Saxon Shore Fort. Although fortified, Horncastle was not on any important Roman roads, which suggests that the River Bain was the principal route of access.

Roman Horncastle has become known as Banovallum (i.e. "Wall on the River Bain") – this name has been adopted by several local businesses and by the town's secondary modern school – but in fact the actual Roman name for the settlement is not definitely known: Banovallum was suggested in the 19th century through an interpretation of the Ravenna Cosmography, a 7th century list of Roman towns and road-stations [2]; Banovallum may in fact have been Caistor.

The walls of the Roman fort remain in places — one section is on display in the town's library, which is built over the top of the wall. The Saxons called the town Hyrnecastre, whence its modern name.

Four miles from Horncastle is the village of Winceby, where, during the Battle of Winceby in 1643 – which helped to secure Lincolnshire for Parliament – Cromwell was almost killed. Local legend has it that the thirteen scythe blades which hang on the wall of the south chapel of the town's church (St. Mary's) were used as weapons at Winceby. This story is generally regarded as apocryphal, and the accepted opinion is that they probably date from the Lincolnshire Rising of 1536.[Wikipedia]

The great annual horse fair probably first took place in the 13th century. The fair used to last for a week or more every August, and in the 19th century was probably the largest event of its kind in the United Kingdom. "Horncastle for horses" made the town famous – the fair was used as a setting for George Borrow's semi-autobiographical books Lavengro and The Romany Rye – but the last fair was held in 1948.