Wynne was named for Captain Jesse Watkins Wynne, a Texan who achieved the rank of captain in the Civil War at the age of just 21. He was famed for leading a group of his captors up to the Confederate lines, where he then marched them to headquarters as his own prisoners.
In 1867, Captain Wynne moved to St. Francis County, Arkansas, and joined the finance company of Dennis & Beck. At that time, the Dennis & Beck company held savings for other companies and for individuals, but eventually, it became the Bank of Eastern Arkansas, and Wynne became its first president.
From 1880 to 1885, as the St. Louis, Iron Mountain, and Southern Railroad was under construction, active steamboat riverports like Wittsburg, at that time the county seat of Cross County, were deserted for the railroads.
The location of the settlement of Wynne was first chosen in 1882, when a train derailed, leaving one boxcar without wheels and off the tracks. That boxcar was then turned upright as a building, and as a compliment to Captain Wynne, it was designated the "Wynne Station". On September 27, 1882, the Wynne Station Post Office was opened.