William Theodore Smith (1845–1918), builder of the Smith Barn
Before settlement, the Leader area was a hunting ground of prehistoric humans. A Midland Folsom point was discovered that the University of Saskatchewan dated back 8,000 to 9,000 years before present.
Leader lies in the traditional territory of the Nekaneet First Nation, who were signatories to Treaty 4.
Homesteaders began arriving in large numbers in 1907; most were German immigrants from southern Russia. A Royal Canadian Mounted Police (RCMP) detachment opened in 1909, and ensured all the settlers had adequate supplies to last the winter. By 1911, the Canadian Pacific Railway purchased a quarter section of land as the prospective site for a settlement. The railway arrived in 1913 and the village of Prussia was incorporated in September of that year. By 1917, anti-German sentiment surrounding the events of World War I prompted the community to change its name, as well as replacing its German street names with numbers. The new name was chosen after a contest won by two local girls, Bertha Keller and Muriel Legault. They were inspired by the arrival of the Regina Morning Leader newspaper on the passenger train. The village name was officially changed to Leader on September 27, 1917; soon after, it incorporated as a town on November 1.
W.T. Smith, a local rancher, had the distinction of building North America's largest barn. The Smith Barn was completed in 1914, having taken 100 men five months to complete its construction; the building measured 400 ft × 128 ft × 60 ft (122 m × 39 m × 18 m). Smith died in 1918, and his massive barn was dismantled down to the concrete foundation in 1921. The concrete foundation remains there to this day.
Following World War II the town's population grew, reaching a peak of 1236 in 1966. Since then the town's population has decreased, following Saskatchewan's overall trend of rural flight.
In 1995, American aviator Steve Fossett landed near Leader after taking off from South Korea, becoming the first person to make a solo flight across the Pacific Ocean in a balloon.
In November 2006, the inhabitants of Leader posed nude for a calendar in act of protest against the deteriorating condition of Highway 32, the main link to the city of Swift Current; it attracted the attention of media outlets in Canada and the United States. In the 2008-2009 provincial budget, the Ministry of Highways committed to rebuild Highway 32 between the villages of Shackleton and Prelate. The project was completed in November 2010 at a cost of $44.4 million.
High winds and dry conditions sparked a wildfire on October 17, 2017 that forced the town's population to evacuate to the town of Kindersley. The fire was contained and residents returned the next day. No one was injured and no structures were damaged.