The Pembrokeshire Agricultural Society was established in 1784 by a former Under Secretary of State for America, William Knox, who settled in Pembrokeshire in 1783.

A brilliant young Irishman, he was Provost Marshall of Georgia under Governor Henry Ellis at the age of 24 in 1756 and came to Pembrokeshire to become a country squire.

Knox founded the Society for the Encouragement of Agriculture, Manufactures and Industry in 1784 and the first show may well have been held in Narbeth or on his estate at Slebech Park. This flourished for six or seven years when the Society for Encouragement of Agriculture and Internal Improvement in the County of Pembroke was established in 1804 by members of the local gentry with Charles Hassall as its secretary.

The society lasted some 12 years when in 1817 The Pembrokeshire Agricultural Society was formed. It was not until 1844 that the Society was further revived, such was the enthusiasm that a purpose built showyard was constructed between Barn Street and Dew Street in 1847.

The Show flourished for over 40 years in the showyard, moving to the Bridge Meadow after it outgrew its purpose built home. By this time, in 1885, the society had waned and had been taken over by a parallel organisation, The Pembrokeshire Farm Club. This only lasted a few years before it was again revived in 1901 under the banner of the Pembrokeshire Agricultural Society. In 1958 the show held at Haverfordwest Racecourse became a quagmire and the society then made its most important move by buying large portions of the former wartime airfield at Withybush, 2 miles from Haverfordwest town centre where in 1959, in blazing sunshine, proved the wisdom of the move.

The 1951 show had seen the first 2 day event and in 1981 the show became a 3 day event, giving time to settle into a successful pattern by the time the Bicentenary was celebrated in 1984, with the show's first Royal visit, when The Princess Royal attended.

The show has gone from strength to strength at Withybush and new buildings have been constructed over the last 40 years to provide improved accommodation.