Risco was founded about 1900 as a hub for shipping lumber by Himmelberger-Harrison Lumber Company. A railroad line was built to Risco and the company used the line to ship cut timber from the area to other areas in the region. The town was named from a Frisco boxcar that was used as a waiting room, but the "F" was missing from the name on the boxcar so they called it Risco.
The first post office was built in 1900 and housed in a tent. Bill Tate was the first postmaster. The first building was a boarding house for workers and soon after other establishments were constructed. The early town history is much like other communities that sprang up from the timber industry, but one event of note is that in 1939 it became the first town in Missouri to elect an all female town board.
In 1914 Risco created its own school district when it broke from the Parma school district. It constructed a two room frame school house that burned in 1920 and was replaced by a three room brick school building. By the mid-1940s Risco had a bank, two drug stores, and several stores and restaurants. It got its first telephone system in 1946.