The Panhandle-Plains Historical Society was organized at Canyon in February 1921 by Joseph A. Hill, then president of West Texas State Teachers' College, Lester F. Sheffy, chairman of the history department, Hattie M. Anderson, a member of the history faculty, and thirty-six other faculty members and students. Sheffy was elected the society's first president for 1921–22 and served many years thereafter as field secretary. The society shared some members and purposes with the Panhandle Old Settlers Association and was incorporated on April 21, 1923. Its purpose was to collect and preserve source materials and relics dealing with the natural history, pioneer life, and development of the Panhandle and High Plains region of Texas and to encourage the study of the area. In 1928 the society published the first issue of its annual journal, the Panhandle-Plains Historical Review, with J. Evetts Haley as editor. The following year the organization launched its campaign to raise money for a museum building, which was completed on the West Texas campus in August 1932 and opened to the public on April 14, 1933.
Artifacts and archival collections began to arrive almost as soon as the society was organized, and donations continued to flow heavily in the 1930s and 1940s. Charles Goodnight gave several valuable gifts that marked the beginning of the museum's Goodnight Collection. Other relics came from many Panhandle families, including W. G. Baxter of Dimmitt, Harley Goettsche of Higgins, and Canyon rancher Edward D. Harrell, who reportedly killed the last gray wolf on the West Texas plains. Floyd V. Studer, the museum's first curator of archeology and paleontology, was largely responsible for the society's early collections in those areas, while Kenneth Carlander's bird specimens stimulated growth in the natural history sector. Other large artifact donors over the years included James D. Hamlin and John Howard Hampton. Such overwhelming responses quickly resulted in the need to expand the museum's facilities, even in its first year of existence. Throughout the 1930s and 1940s several fund-raising efforts were instigated by society members, including John L. McCarty's "bricks-krieg," in which area schoolchildren were encouraged to contribute pennies to help buy bricks for the museum. The efforts of J. Evetts Haley and others resulted in the acquisition of the XIT and JA ranch records, and over the years the society's archives were expanded by other collections from William H. Bush, Guy A. Carlander, the Francklyn Land and Cattle Company, and various state legislators from the Panhandle area. The marking of historical sites was another of the society's early activities. Along with state appropriations and donations from philanthropic organizations, funds that the society has raised over the years have resulted in frequent additions to the museum facilities.
All museum artifacts and collections, which now number over two million, are considered the society's property. The museum continues to function as headquarters for the society, which holds an annual business meeting and banquet there, usually on the first Saturday in May. For several years papers dealing with Panhandle history were also presented. Over the years several distinguished West Texans, including Thomas F. Turner, Orville H. Nelson, Timothy D. Hobart, Harvey E. Hoover, Harold D. Bugbee, James P. Cornette, Cecil V. P. Buckler, J. Harold Dunn, James D. Hamlin, Floyd V. Studer, J. Evetts Haley, and S. B. Whittenburg have served as presidents of the society. The president is chosen annually by the board of directors, which also selects other executive committee officers. The executive committee handles the immediate operation of the society and museum. Membership peaked at more than 1,000 in 1972 and in 1987 was approximately 800. The Panhandle-Plains Historical Review published volume sixty that year, with Dianna Everett as editor. Don Max Vars, a Canyon banker, became president of the society in 1987, and Tom T. Christian served as executive vice president and interim director until the arrival of D. Ryan Smith as museum director in May of that year.