Kaluga, founded in the mid-14th century as a border fortress on the southwestern borders of the Grand Duchy of Moscow, first appears in the historical record in chronicles in the 14th century as Koluga; the name comes from Old Russian kaluga - "bog, quagmire". During the period of Tartar raids it was the western end of the Oka bank defense line. The Great stand on the Ugra River was fought just to the west. In the Middle Ages Kaluga was a minor settlement owned by the Princes Vorotynsky. The ancestral home of these princes lies southwest of the modern city.

On 19 January 1777 the Kaluga drama theatre opened its first theatrical season, established with the direct participation of the Governor-General M. N. Krechetnikov.

Kaluga is connected to Moscow by a railway line and by the ancient roadway, the Kaluga Road (now partly within Moscow (as Starokaluzhskoye Shosse - the Old Kaluga Highway), partly the A101 road). This road offered Napoleon his favored escape route from the Moscow trap in the fall of 1812. But General Kutuzov repelled Napoleon's advances in this direction and forced the retreating French army onto the old Smolensk road, previously devastated by the French during their invasion of Russia.

On several occasions during the Russian Empire Kaluga was the residence of political exiles and prisoners such as the last Crimean khan Şahin Giray (1786), the Kyrgyz sultan Arigazi-Abdul-Aziz (1828), the Georgian princess Thecla (1834–1835), and the Avar leader Imam Shamil (1859–1868).

Kaluga was briefly occupied by the German army in Operation Barbarossa during the climactic Battle of Moscow. It was occupied from October 12, 1941 to December 30, 1941.

In 1944 the Soviet Government used its local military buildings to intern hundreds of Polish POWs—soldiers of the Polish Underground Home Army—whom the advancing Soviet front had arrested by in the Vilno area.