Archbishop Koenraad van Hochstaden (1231-61) wanted to make Winterberg a city because it then lay on the borders of his diocese, the Electorate of Cologne. In 1270-71 the place received its city rights, the foundation of the city was accompanied by the foundation of the monastery Küstelberg. The count of Waldeck conquered the city in 1321. In 1357 the city was completely destroyed by Godfried IV van Arnsberg, during the war with Willem van Gennep, Archbishop of Cologne. In order to rebuild the city, the bishop introduced a ten-year free tax for the citizens, which was extended in 1370 and again in 1374. Winterberg was part of the Hanseatic cities from the 13th century to the 17th century. The city lay on two trade routes, the "Heidenstrasse" between Cologne and Kassel and the "Heerstrasse" between Frankfurt and Soest.

During the Plague in the 14th century, many citizens left the surrounding villages and hamlets for the town of Winterberg, thinking they would be safe from disease, but also from fire and looting by itinerant troops.

As in many places in the Duchy of Westphalia, there were witch trials in Winterberg between the 16th century and the 18th century.

At the end of the Second World War, heavy fighting took place in and around Winterberg between German and allied troops. That battle from about March 30 to April 8, 1945 claimed many casualties and the material damage was great.

The only significant economic factor in the municipality is tourism. The relatively harsh climate makes profitable farming virtually impossible. In order not to be completely dependent on winter sports tourism (global warming could eventually lead to warmer, snowless winters), the municipality is trying to attract small-scale business from elsewhere on new business parks; until 2018 without much success.

Winterberg has a temperate maritime climate, with pleasant winters and relatively cool summers. Due to the presence of the mountains, the influence of the sea is somewhat less here than in other parts of Germany. Because Winterberg is located in a valley, the rainfall here is particularly difficult to predict.