Mažeikiai was first mentioned in written sources in 1335. A chronicler of the Livonian Order wrote about a campaign of the Order, during which the land of Duke Mažeika was devastated. The town started growing rapidly in 1869 when the Libau-Romny Railway connecting Vilnius and Liepaja was constructed. In 1893, the town had 13 shops and 5 alehouses. In 1894 an Eastern Orthodox church was built, and a synagogue had been founded several years earlier. In 1902 a Catholic church was established, followed by an Evangelical-Lutheran church in 1906. From 1899 to 1918 the town was called Muravyov.

In 1919 Mažeikiai became the county centre and received the rights of self-government. During the first years of independence, Mažeikiai was subject to a territorial dispute between Lithuania and Latvia because of its importance as a railway hub between the Latvian cities of Riga, Jelgava and Liepaja. In 1921 Latvian claims for the town were rejected by an international commission.

A hospital and a library were opened in 1922 and a museum in 1928. In 1939 the population of the town was recorded as 5,618. In 1940 26 industrial companies, 4 banks and a credit union operated in Mažeikiai.

In 1940 the Soviet Union occupied the town and it was annexed to the Soviet Union on 3 August 1940 as a part of the Lithuanian SSR. During World War II, Mažeikiai was under German occupation from 26 June 1941 until 31 October 1944. It was administered as a part of the Generalbezirk Litauen of Reichskommissariat Ostland. In August 1941 a mass killing occurred in which 4,000 Jews from the Mažeikiai district were killed.

In 1950 Mažeikiai became the district centre.

The name of the town is undoubtedly given after a person. In history, there are mentions of a person named Mažeika.