Henry Bain (1863–1928) was one of the first employees and eventually a head waiter at the Pendennis Club, which was founded in 1881. He is credited with creating his namesake sauce for steaks and the local game animals brought in by members for preparation.
Numerous recipes for homemade versions have circulated for years and are still widely used. In 2009, the club began bottling and selling the original version. As demand increased, the club partnered with a local food distribution company to sell the sauce at local stores and Kroger supermarkets in the Louisville area and online.