Blandford has been a fording point since Anglo-Saxon times, when it was recorded as Blaen-y-ford and as Blaneford in the Domesday Book, meaning ford of the river of blay, or bleak (Alburnus alburnus). By the 13th century it had become an important market town with a livestock market serving the nearby Blackmore Vale with its many dairy farms. The Latin word Forum, meaning market, was recorded in 1540. It was an important break on the journey between the port of Weymouth and the capital London. There is still a weekly outdoor market and a bi-weekly indoor market held in the Corn Exchange
In 1731 much of the town was destroyed in a fire. John and William Bastard rebuilt the town over the following 30 years and the town centre features Georgian architecture from the 1730s to 1760s.
Blandford Forum is often given as an example of a Georgian town, as the entire centre was rebuilt at once in the 18th century, due to the fire of 1731, and is hence uniformly Georgian. All façades remain in fair to good condition, and notable buildings include the Corn Exchange, and the 1732 parish church of St Peter and St Paul, a classical building with a cupola on top of the tower. The interior remains relatively unaffected by Victorian interference and retains its galleries, font, pulpit, box-pews and mayoral seat. In 1893 the church was enlarged by moving the apsidal sanctuary out on rollers onto new foundations and building a new chancel behind it.
To the south of the town a six arch stone bridge spans the River Stour.