Deneysville was established in 1936 and named after Deneys Reitz, writer of Commando: A Boer Journal Of The Boer War and son of former Orange Free State president Francis William Reitz. The lake formed by the Vaal Dam was originally planned to be named Lake Deneys but was never formally adopted. The town "Deneysville" however, established on the shores of the dam was named after him. The stone cottage on the waterfront which was originally built as a hunting lodge by the Reitz family, is now St. Peter's Church, and has become a popular wedding venue. The original village management board became a municipality and today falls under the large area council of Metsimaholo. The town was slow in developing until the turn of the century when it was rediscovered and is today a fast developing recreational center with many new holiday homes adding to permanent working and retired population
In early stone-age times, the San had settled along the shore of the Vaal River, where Deneysville is established today. They were followed by the Khoikhoi. The ruins of their stone dwellings can be seen in the area today opposite the Municipal buildings. There is an interesting exhibition of artifacts in the towns library which is situated behind the Municipal offices.
Deneysville,situated on the Free State side of the Vaal River, is the largest town on the Vaal Dam Four yacht clubs that hold regular sailing races at weekends. Two of the most known races are Keel Boat Week held at Deneysville Aquatic Club and Round The Island Yacht Race which is held at Lake Deneys Yacht Club.