Nong Bua Lam Phu is famous as the spot where in the 16th century Naresuan, the king-liberator of Siam, came to learn of the outcome of a war between the Lao and Burmese in the area of Vientiane. This place was long a Lao stronghold. During the existence of the Lao Kingdom of Lan Xang (1354–1707), Nong Bua Lam Phu was traditionally given to the crown prince (Uparat) to rule. It was the birthplace of the principal wife of Chao Siribunyasan (พระเจ้าศิริบุญสาร), the last independent king of Vientiane. In 1827, Chao Anou of Vientiane designated Phagna Narin to be governor at the onset of the Laotian Rebellion of 1826-1828.
Under Thai rule, the province originally consisted of five amphoe (districts) in Udon Thani Province. In 1993 Udon was decentralized and a separate province of Nong Bua Lam Phu was created. It is one of the newest provinces of Thailand, together with Amnat Charoen Province, Sa Kaeo Province, and Bueng Kan Province.