Klimovsk was founded in the first half of the 19th century as a village of Klimovka (), which was close to Moscow–Serpukhov–Tula road. The basic employment of the peasants were agriculture and cattle breeding.
It was renamed Klimovsk in 1883 and granted town status on October 7, 1940. The occurrence and development of Klimovsk is closely connected to a history of the machine-building factory. The Moscow–Kursk railway laid in immediate proximity from village has allowed group of manufacturers to begin here in 1882 construction of a factory on manufacture of spare details for the weaving looms necessary for cotton-mills of the central provinces of Russia.