At an altitude of about 1,650m, in the middle of Namibia's central highlands, Windhoek stands at the head of the valley of one of the Swakop River's tributaries. The Nama people named this place Ai-gams ('fire-water') and the Herero called it Otjomuise ('place of steam'), after the group of hot (23–27ºC) springs, now situated in the suburb of Klein Windhoek.

The springs were long used by the original Khoisan hunter-gatherer inhabitants. However, the first recorded settlement here was that of the important chief Jonker Afrikaner and his followers, around 1840. (Jonker had gradually moved north from the Cape, establishing himself as the dominant power in the centre of the country, between Nama groups in the south and Herero to the north.) Many think that the name Windhoek was bestowed on the area by him, perhaps after Winterhoek, his birthplace in the Cape. Others suggest that Windhoek is simply a corruption of the German name for 'windy corner'. Jonker Afrikaner certainly used the name 'Wind Hoock' in a letter to the Wesleyan Mission Society in August 1844, and by 1850 the name 'Windhoek' was in general use.

By December 1842, Rhenish missionaries Hans Kleinschmidt and Carl Hahn had established a church and there were about 1,000 of Jonker's followers living in this valley. The settlement was trading with the coast, and launching occasional cattle-rustling raids on the Herero groups to the north. These raids eventually led to the death of Jonker, after which his followers dispersed and the settlement was abandoned.

The Germans arrived in 1890, under Major Curt von François. They completed the building of their fort, now known as the Alte Feste – Windhoek's oldest building. This became the headquarters of the Schutztruppe, the German colonial troops. Gradually German colonists arrived, and the growth of the settlement accelerated with the completion of the railway from Swakopmund in 1902.

In 1909 Windhoek became a municipality. The early years of the 20th century saw many beautiful buildings constructed, including the landmark Christus Kirche, constructed between 1907 and 1910. Development continued naturally until the late 1950s and '60s, when the South African administration started implementing policies for racial separation: the townships began to develop, and many of Windhoek's black population were forced to move. This continued into the '70s and '80s, by which time rigid separation by skin colour had largely been implemented. The privileged 'whites' lived in the spacious leafy suburbs surrounding the centre; black residents in Katutura, which means 'the place where we do not like to live'; and those designated as 'coloured' in Khomasdal. Even today, these divisions are largely still in place.

The 1990s, following independence, saw the construction of new office buildings in the centre of town. More recently, impressive new government buildings, including a new Supreme Court building, have been constructed on the east side of Independence Avenue, while the open spaces between the old townships and the inner suburbs are gradually being developed as modest, middle-income housing.