The French were the first European inhabitants in what is present day Lemay. In 1700, the French Jesuits established a mission and small settlement near the mouth of the River Des Peres. The settlement was short lived and after three years the mission was transferred to Kaskaskia, Illinois. Development in the area did not resume until the second half of the 18th Century as a result of the growth of Carondelet.

   Carondelet was a French settlement founded in 1767 by Clement Delor. The Lemay portion of Carondelet was located south of the River Des Peres and used primarily for agricultural purposes, known formally as Carondelet Commons. While vital to Carondelet's development in present-day St. Louis, use of the commons hampered development in Lemay. Land titles for the area were often disputed well into the 19th Century because of its status as a municipal common ground.

   Lemay's identity as a separate community began to materialize between the Civil War and the Great Depression. Settlement was advanced by the resolution of the land disputes and from a surge of immigrants from St. Louis, mostly Germans. The immigrants led to the establishment of small communities in the area south of the River Des Peres such as Luxemberg, Ivory, Bismark Heights, and Bobringville. While many of these communities retained their identity, the area was most popularly referred to as Luxemberg. The area's identity as Lemay didn't take shape until the 1930s. The name Lemay is derived from the operator of the ferry service across the Meramec River, Francois Lemai.

   By the turn of the 20th Century, various industries and businesses began to serve the local population and community services were established to transform the Lemay area into a functional, modern settlement.