Thalia was originally named "Paradise", but when the town applied for a post office, the name was rejected, so the town was renamed "Thalia", meaning "blooming" or "luxuriant." Thalia was originally located in Hardeman County, but when Foard County was established in 1891, Thalia became a part of Foard County.
Land for the town was donated by William W. Pigg, soon a post office and a school opened in 1890. The town's economy benefited from the oil boom in the 1920s. By 1926 Thalia incorporated with a population of 50.
A High School opened in 1930, but closed in 1943. Thalia's economy suffered from the drought, the Great Depression and a drop in oil production. The post office closed by 1960.