The area of Milestone was occupied by the Cree, Anishinaabe and Sioux long before Europeans ever set foot on the shores of North America.
Eventually, as European fur traders explored into the centre of the continent, a new culture emerged, the Metis.
One of the most important resources in the Milestone area for the Indigenous were the huge bison herds that migrated through, and the abundant natural resources of flora and fauna that the Indigenous accessed.
Today Milestone sits on the border of Treaty 4 and Treaty 2 land.
In the 1880s, the Canadian government began to put posters advertising nearly free land for people to settle. As can be expected, a huge amount of people in Europe took advantage of that offer.
The CPR, seeing the influx of immigrants arriving, completed the Soo Line from North Portal to near Moose Jaw in 1893. Along the line, station houses were built and one of the station houses was named Milestone, in honour of C.W. Mileston, the superintendent of the new Soo Line Extension.
In 1899, the land rush began and 96 homestead entries were filed between that year and 1902. The first two people to settle in the Milestone area were Albert Ross and Benjamin Hubbs. They had scouted the area and they told their friends and family back east to come out as the area was great for settlement. Before long, several families settled in the area.
By 1903, a community had developed and in 1906, Milestone had 244 people. The community continued to grow through the coming years, becoming a thriving location in southern Saskatchewan.
In 1912, the Bethesda Lutheran Church was built outside of Milestone to the west. This wood frame church provided the settlers of the area with a place for worship with their congregation having already existed for a decade by that point. The church can be seen for kilometres around the area and it served the area for many functions. Many of the earliest settlers to the area are also buried in the cemetery, which closed in 1973.
The church was made a municipal heritage property in 1985.
In 1920, work began on the Saint Aloysius Roman Catholic Church in Milestone. The church was constructed of brick, with a one-and-a-half storey bell tower. The building was constructed with donations and volunteer labour and it was here that several generations of parishioners attended mass, were baptized, married and had funerals. Located on Main Street, the church became a landmark of the community and in 1982, it was made a municipal heritage property.