Plans for the gorge’s construction were drawn up as early as 1890 by tourism pioneer Nikolaus Gassner – the gorge was finally opened in 1893. Sigmund Graf von Thun, after whom the gorge is named, was present at the opening and marveled at the gorge’s rushing waters. Thun was the governor of Salzburg and was also a supporter of infrastructure development (e.g., the Pinzgau Local Railway) in the Pinzgau region. In his honor, the gorge and the street of the same name in Kaprun were named after him. As early as 1934, the gorge was designated a natural monument. In 1938, it was closed due to the start of construction on a power plant.

In 1990 (100 years after the initial plans), the VSF – the Association for the Creation of Special Recreational Facilities – was founded with the goal of rebuilding the Sigmund Thun Gorge. The gorge finally opened in 1992 and has since become one of the most visited gorges in all of Austria.