Spray was named for John Fremont Spray, the community’s founder and first postmaster, and his wife, Mary E. Spray. The post office was established in 1900. In that same year, John Spray established a ferry to carry people across the John Day River, and he helped establish a school and a store in the community.

After formation of Wheeler County in 1899, Spray was suggested as a possible county seat. A county-wide election held in 1900 produced 436 votes for Fossil, 267 for Twickenham, and 82 for Spray.

In 1958, Spray became the last Wheeler County community to incorporate as a city. John Butler was the first mayor.