The Fort Gay community traces back to 1789, when 11 people established a settlement at the junction of the Tug and Big Sandy rivers, across from what is now Louisa. In 1875, it was chartered as Cassville; though it was simultaneously known as Fort Gay. In 1932, the town's name was officially changed to Fort Gay. There is no evidence as to why the name was changed, there are several prevalent theories: that either the railroad company or post office did not want two Cassvilles on the same route/state (there is another Cassville, West Virginia), or that a Civil War nurse named Gay became synonymous with the town.
In 2010, Fort Gay was in the news when a resident of the town had his Xbox Live account suspended for writing "fort gay WV" as his location, as Microsoft has language policies that prohibit references to homosexuality. Microsoft customer service representatives refused to believe that Fort Gay existed, and it took an appeal from Mayor David Thompson and media coverage for the issue to be corrected.
Fort Gay is a part of the Huntington-Ashland, WV-KY-OH, Metropolitan Statistical Area. As of the 2000 census, the MSA had a population of 288,649.
The Norfolk Southern Railway's Kenova District goes through the western edge of town.