Plans for Santa Claus Land were first conceived as a retirement project by Louis J. Koch, a former industrialist from Evansville, Indiana. In 1941, Koch visited the town of Santa Claus, Indiana. Upset that children came to a town named Santa Claus only to be dismayed when Santa Claus wasn't there, Koch developed the idea for a park where children could have fun and visit Santa year-round. Although initial construction plans were delayed by World War II, construction of Santa Claus Land eventually began on August 4, 1945. At the time, Indiana had only one other amusement park, Indiana Beach (then called Ideal Beach).

Santa Claus Land opened on August 3, 1946. At no cost, the park offered a Santa Claus actor, a toy shop, toy displays, a restaurant and themed children's rides, one of which was the Freedom Train (which originally opened as the Santa Claus Land Railroad). With the park's success, Louis Koch's son, Bill Koch, took over as head of Santa Claus Land. In the following years, Bill Koch continued to add to the park, including the first Jeep-Go-Round ever manufactured, a new restaurant, and a deer farm which was eventually home to fourteen European white fallow deer.

Santa Claus Land charged admission for the first time in 1955; adults were charged 50 cents while children continued to be admitted for free. Despite the new cost of admission, attendance continued to grow with the park. The Pleasureland ride section, which exists today as Rudolph's Reindeer Ranch, debuted in 1955. In the early 1970s, additional children's rides, including Dasher's Seahorses, Comet's Rockets, Blitzen's Airplanes, and Prancer's Merry-Go-Round, were added to this section. From 1959 to 1961, the first live entertainment, the Willie Bartley Water Ski Thrill Show, performed on Lake Rudolph each summer. A choir composed of local children also performed at the park in 1970 and 1971.

In 1960, Bill Koch married Patricia "Pat" Yellig, the daughter of Jim Yellig, the park's Santa Claus actor. Bill and Pat Koch would have five children: Will, Kristi, Daniel, Philip, and Natalie.

In 1976, Santa Claus Land moved its entrance from State Road 162 to its present location on State Road 245. The park began to focus on appealing to families as a whole, rather than just children. The park had added nine new rides by 1984, eight of which they hoped would appeal to older children and adults alike.

By 1984, the Koch Family had realized the theming possibilities beyond Christmas. Santa Claus Land soon saw the first major expansion in park history with the addition of a Halloween section and a Fourth of July section. With the inclusion of more than just Christmas, Santa Claus Land formally changed its name to Holiday World. The Frightful Falls log flume and the Banshee Falling Star ride were added to the Halloween section in 1984 and 1986 respectively, the Raging Rapids river rapids ride was added to the Fourth of July section in 1990, and the Kringle's Kafé restaurant was built in the Christmas section.

It was also during this time period that Holiday World saw a change in leadership. Will Koch, the eldest of Bill Koch's children, took over as president of the park. Another of Bill Koch's children, Daniel "Dan" Koch, became chairman of the board.

In 1993, the water park Splashin' Safari opened. In its first year of operation, Splashin' Safari operated with the Congo River lazy river, the Crocodile Isle children's play area, and the AmaZOOM and Bamboo Chute water slides. A wave pool called The Wave was added the following year.

The park added the first of its three wooden roller coasters in 1995 with Raven, built by Custom Coasters International. The Raven was named "Ride of the Year" and voted the world's second best wooden roller coaster in its opening year. In 2000, The Raven was ranked as the best wooden roller coaster in the world by Amusement Today magazine, a distinction it held for 4 years. As of the 2025 awards, Raven has remained ranked among the top fifty wooden roller coasters in the world.

Over the next four years, the park made only two additions. The first was the addition of the Monsoon Lagoon children's play complex in Splashin' Safari. The second was the replacement of the Firecracker roller coaster with Holidog's FunTown, a children's play area featuring Holidog's Treehouse, The Howler, Doggone Trail and Magic Waters, themed to one of the park's mascots, Holidog.

Custom Coasters International was hired to install another wooden roller coaster. The Legend, based on Washington Irving's "The Legend of Sleepy Hollow", opened in 2000 adjacent to Raven. The Legend's ranking reached its peak in 2002, when it was voted the fourth best wooden roller coaster in the world. Much like Raven, The Legend continues to be ranked among the top fifty wooden roller coasters in the world. In 2000, the park also began offering its guests free unlimited soft drinks, a service which brought attention to the park.

For the next five years, the park's additions grew steadily. In 2002, ZOOMbabwe, the world's longest enclosed water slide, was added to Splashin' Safari. In 2003, Splashin' Safari added Zinga, a ProSlide Technology Tornado slide, while Holiday World replaced Banshee with the HallowSwings Wave swinger ride, and the Hall of Famous Americans wax museum with the Liberty Launch Double Shot ride. In 2004, the park continued to expand the water park, adding the Jungle Racer racing slide and the Jungle Jets children's play area. Bahari Wave Pool was added in 2005, which marked the beginning of an expansion project that would double the size of Splashin' Safari.

In 2004, the park earned the Applause Award from the International Association of Amusement Parks and Attractions (IAAPA). To win the award (which is awarded every two years), a park must "show foresight, originality and creativity, plus sound business development and profitability". With an attendance of 883,000 visitors that year, Holiday World was the lowest-visited park to ever receive the award.

The 2006 season marked the 60th anniversary of Holiday World. The park celebrated it by adding a new section themed to Thanksgiving. In order to create the section, the park added two new rides. The first was Gobbler Getaway, a Sally Corporation interactive dark ride. The second and anchor attraction was the park's third wooden roller coaster, The Voyage, built by The Gravity Group. The addition of The Voyage garnered national attention, as the roller coaster claimed the record for most airtime of any wooden roller coaster at 24.3 seconds. It is also the second longest wooden roller coaster in the world, behind only The Beast at Kings Island. In its first year of operation, The Voyage was awarded the title of Best New Ride and second best wooden roller coaster in the world by Amusement Today. From 2007 to 2011, The Voyage was awarded the title of best wooden roller coaster in the world. It has remained in the top five best wooden coasters in these rankings every year since its opening. Also added in 2006 was the Bahari River lazy river in Splashin' Safari. It was named Best New Waterpark Ride by Amusement Today.

Over the next three years, Holiday World & Splashin' Safari opened several new additions. The Bakuli slide and Kima Bay play area were added to Splashin' Safari, the Turkey Whirl Tilt-A-Whirl ride and the Plymouth Rock Café were added to the Thanksgiving section, the Star Spangled Carousel replaced Thunder Bumpers on Chesapeake Bay in the Fourth of July section, and the Reindeer Games drop tower replaced Kids Castle in the Christmas section. In 2009, Holiday World continued to break records by opening the world's tallest water ride, Pilgrims Plunge, in the Thanksgiving section of the park. Pilgrims Plunge deviated from the standard of using a sloped lift hill, instead opting for an open-air elevator system that took riders to a height of 135 feet (41 m) before dropping them at a 45-degree angle. Pilgrims Plunge was renamed to Giraffica in 2013 when the boundaries between the Thanksgiving section and the water park were slightly altered.

Splashin' Safari broke another record in 2010, when the Wildebeest water coaster was introduced. When Wildebeest opened, it was the world's longest water coaster at 1,710 feet (520 m) long. It was also among the first water coasters to use linear induction motors, rather than water jets or conveyor belts, to propel riders up hills. Wildebeest was named Best New Waterpark Ride in 2010, as well as Best Waterpark Ride in 2010, 2011 and 2012. The park broke its own record just two years later, in 2012, when Mammoth opened. Mammoth, which was the most expensive ride added to the park until the addition of Thunderbird, is 1,763 feet (537 m) long, making it the longest water coaster in the world.

The park suffered a sudden loss in June 2010 when president and CEO Will Koch died while swimming at his home. Although the Spencer County coroner listed the official cause of death as drowning, family and park officials believe Koch's type 1 diabetes played a factor in his death. Soon after his death, Holiday World & Splashin' Safari named Will's younger brother Dan as the park's new president. Dan Koch served as the park's president until late 2012, shortly after which the board of directors announced Matt Eckert as the new president, sparking a fight within the family for control of the park and its assets. Matt Eckert was previously one of the park's two general managers and was not related to the Koch family.

Will Koch's widow Lori and their three children won primary ownership of the park and its parent company, Koch Development Corporation, after a court battle. Dan Koch, along with his sister Natalie, would go on in 2014 to form Koch Family Parks and buy Alabama Adventure & Splash Adventure, a previously troubled theme park in Bessemer, Alabama.

In recent years, the park has replaced some of its older rides with newer rides. In Holiday World, Blitzen's Airplanes was replaced with Rudolph's Round-Up in 2011, and in 2012 Paul Revere's Midnight Ride was replaced with Sparkler, a 65 feet (20 m) tall Zamperla Vertical Swing ride. Due to limited vertical clearance for Sparkler, the park decided to relocate Star Spangled Carousel to the former location of Paul Revere's Midnight Ride and to place Sparkler in the carousel's place. The following year, Holiday World removed part of Holidog's Treehouse to make room for a new tea cup ride called Kitty's Tea Party. In 2013, the park also removed the only original remaining ride, the Freedom Train, citing maintenance concerns. It was replaced by another train ride which the park named Holidog Express. In Splashin' Safari, Jungle Jets was replaced with Safari Sam's SplashLand in 2011. In 2013, AmaZOOM, Bamboo Chute, Congo River, and Crocodile Isle were removed to make way for a new Splashin' Safari entry plaza. The Hyena Falls slide complex and the Hyena Springs play area were added to the north of Giraffica.

On September 6, 2013, Holiday World announced plans for a 2014 expansion totaling $8 million. The highlight of the announcement was a new swinging ship ride called Mayflower, which is located in the park's Thanksgiving section just to the north of Gobbler Getaway. This ride is the first of a series of rides intended to bring the focus back on the theme park after several years of major additions to the water park. In addition to Mayflower, the park introduced a new restaurant and shop in Splashin' Safari, more cabanas, additional benches and shade structures, parking lot improvements, and the addition of fireworks on Friday nights between June 13 and August 1.

Giraffica closed at the end of the 2013 season and was removed before the start of the 2014 season, citing technical problems.

On July 24, 2014, the park announced the construction of Thunderbird, a launched Bolliger & Mabillard Wing Coaster (the first of its kind in the United States, and the only one until 2025), for the 2015 season, occupying the area north of Hyena Falls and intertwining with The Voyage. The coaster reaches launches at 62 mph (100 km) in 3.5 seconds, and features the tallest vertical loop on a Wing Coaster. It was also the park's first major steel roller coaster.

On August 6, 2019, Holiday World formally announced the 2020 addition of Cheetah Chase, a dueling launched ProSlide Technology water coaster, for Splashin' Safari. Cheetah Chase features a track with a length of over 1,700 feet and a maximum speed of over 20 miles per hour. It is the world's first launched water coaster and Splashin' Safari's third major water coaster. The expansion also brought new rentable shaded lounge chairs near the area.

On August 1, 2023, the park announced plans for a new area within the Thanksgiving section called Stuffing Springs, on land where Girrafica was formerly located. The area is headlined by Good Gravy!, a Vekoma Family Boomerang coaster. It was the first Family Boomerang to be built in North America. The ride stands at 77 feet tall and reaches a maximum speed of 37 mph. The area also includes a playground, a Dippin' Dots stand, and additional restrooms.