The community was established about 1800, known at the time as Tanner's Station. The Bullittsburg Baptist Church was founded outside the former hamlets of Utzinger and Gainesville/Idewild, east and north of Petersburg, in 1794.
One may often incorrectly hear that Petersburg, in 1791, was considered as a site for the new Kentucky State Capital; this has been confirmed in the oral tradition of the community, where descendants of the original settlers still live, and was "planned", laid out on a grid, highly unusual for the period, renamed in honor of Saint Petersburg, Russia. The statehouse and governor's mansion were to have been built on the hill overlooking the town. However, oral tradition proves incorrect; the Petersburg in consideration for state capital was another, now defunct, location in Woodford County.