The town was surveyed in 1884, and initially named Tatiara, which was described as an "Aboriginal word from the Jackegilbrab Tribe which HC Talbot states is divided into six clans ". The railway station was named after Lord Wolseley, who was the Commander-in-Chief of the British Army. The name of the town was changed to match the name of the station on 20 February 1941. Early in World War II, RAAF No. 12 Inland Aircraft Fuel Depot was established at Wolseley, with an initial capacity of in three tanks camouflaged to look like farm buildings. The depot started operations in 1942 and three additional tanks were added later. It was disbanded on 14 June 1944. It is listed on the South Australian Heritage Register as the Wolseley Inland Aircraft Fuel Depot.
Railway
The Adelaide–Wolseley railway was opened from Adelaide east to Wolseley railway station in the early 1880s built to broad gauge. The Serviceton railway line from Melbourne reached Serviceton in Victoria in 1886, and the three miles from Wolseley to Serviceton was completed by the South Australian Railways in 1887, completing a broad gauge rail link between Adelaide and Melbourne. Around the same time, the Mount Gambier railway linenarrow gauge railway extended to Wolseley station from the south, creating a break-of-gaugerail junction. By May 1883, rail construction had not yet been completed, but trains were able to operate regularly from Bordertown on the Adelaide line and from Custon on the Mount Gambier line, continuing through Naracoorte to Kingston SE. In 1881, the Government of South Australia authorised the construction of a railway from "University Block No. 3" near the southern border of the Hundred of Tatiara to Border Town. It had previously authorised the construction from Naracoorte to that point in 1879. In the 1950s the break-of-gauge was abolished by the conversion of the Mount Gambier line to broad gauge. The line to Mount Gambier has been out of use since the conversion of the Adelaide – Melbourne line to on 12 April 1995, pending possible conversion to standard gauge. If it is converted, it will become the first railway line in Australia to have ever been converted to all 3 gauges.
In 1936, to help overcome some of the inconveniences of the break of gauge, containers were introduced to allow though shipment of goods without the need for transshipment.
