The creation of Natural Tunnel began more than a million years ago in the early glacial period when groundwater bearing carbonic acid percolated through crevices and slowly dissolved surrounding limestone and dolomite bedrock. Then, what is now Stock Creek was probably diverted underground to continue carving the tunnel slowly over many centuries. The walls of the tunnel show evidence of prehistoric life, and many fossils can be found in the creek bed and on tunnel walls.

Daniel Boone was probably the first white man to see the tunnel. However, no one wrote of it until Lt. Col. Stephen H. Long explored the site in 1831 and published an article in a geology journal in 1832. The areas near the tunnel were mined for saltpeter during the Civil War. In 1890 the South Atlantic and Ohio Railroad arrived and, making use of the natural formation, laid tracks through the tunnel. In 1906 Southern Railway acquired the tracks and created a passenger line, the Natural Tunnel Line, that went through the tunnel. Large coal deposits were discovered in the area shortly thereafter, and although they no longer carry passengers, trains continue to this day to carry coal through Natural Tunnel.