The legend of the founding of Rokiškis tells about a hunter called Rokas who had been hunting for hares. However, cities ending in "-kiškis" are quite popular in the region. The city was first mentioned in 1499. At first, it was Prince Kroszinski's residence, later count Tyzenhaus build a beautiful neogothic church of St. Matthias and Rokiškis Manor, which is well preserved today and houses the Rokiškis Regional Museum. The town was planned in a classicist manner.

Rokiškis was part of the Grand Duchy of Lithuania and the Commonwealth of Poland-Lithuania (Rzeczpospolita) until 1795 when Lithuania was annexed by the Russian Empire. Rokiškis was included in the Vilna Governorate, until 1843 when the Novo-Alexandrovsk district (uyezd) was transferred to the newly established Kovno Governorate.

The city started to grow in 1873 when a branch of the Libau-Romny Railway was built which connected Dünaburg/Daugavpils to the east with the ice-free Baltic port of Libau/Liepaja.

In the summer of 1915, the German army occupied the city. When the war ended, the area became part of the new Republic of Lithuania. Rokiškis was granted city rights in 1920. Because of strained relationships between Lithuania and the nearby newly created Republics of Poland and Latvia, Rokiškis was economically isolated.