Tuesday has been market day in Melton since 1324, when royal approval first formalised what had already been happening for centuries. The Domesday Book of 1086 records Melton as the only market in Leicestershire, a thriving settlement of around 200 souls with weekly trading, two water mills, and two priests. That makes Melton the third-oldest market in England, and the rhythm has barely faltered since. The Mowbrays who gave the town half its name were Norman lords, including Robert de Mowbray; the other half comes from the Old English Medeltone, meaning a middletown ringed by smaller hamlets. Six stone crosses once marked the town's old quarters: Kettleby, Sheep, Corn, Butter, Sage, and Thorpe. Most were destroyed during the Reformation. The reconstructed Butter Cross still stands in the Market Place, and the Corn Cross was re-erected in 1996 as a memorial to the Royal Army Veterinary Corps, an unusually appropriate piece of remembrance in a town defined by its livestock.

The pies came from the cheese. Stilton, despite the name, was made in significant quantities around Melton long before the Cambridgeshire village it sold from gave the cheese its identity. The local Tuxford & Tebbutt creamery was for many years one of only six dairies licensed to produce true Stilton, though it closed in December 2024 after Arla Foods cited declining speciality cheese sales, leaving four licensed Stilton producers. A maker in Cambridgeshire's actual Stilton village still cannot legally call its cheese Stilton even today. The pork pies were a by-product of all that dairying. Cheesemakers fed leftover whey to pigs; the pigs produced abundant cheap meat; and Melton bakers learned to hand-raise the pastry around the chopped, uncured pork that survived a long bake in the oven without going grey. By the time the European Union granted the Melton Mowbray pork pie Protected Geographical Indication status on 4 April 2008, the Melton Mowbray Pork Pie Association had been campaigning for years. The pie is now a piece of legal architecture as much as a foodstuff.

From the late eighteenth century into the twentieth, Melton was where wealthy men came to ride to hounds. The Quorn, the Cottesmore, and the Belvoir hunts all meet within a horse's hack of the town, and the surrounding countryside, neither too steep nor too flat, became Britain's most famous fox-hunting territory. Hunting boxes like Egerton Lodge, built in 1829 for Lord Wilton, were country residences kept just for the season. The town gained a reputation that was not always flattering. On 6 April 1837, the 3rd Marquess of Waterford and a hunting party tore through Melton's streets in a drunken rampage, painting toll gates red and earning a place in Henry Alken's prints of A Spree at Melton Mowbray. The escapade was later turned into a play at the Theatre Royal, Drury Lane in 1838. Long after the spectacle, the special weave of cloth developed for these riders, Melton cloth, kept clothing the world. Sailors' pea coats, British donkey jackets, and North American loggers' Mackinaws all descend from a fabric first mentioned in Melton in 1823.

During the English Civil War, Melton held for Parliament under a Colonel Rossiter. In November 1643, Royalists caught the garrison unawares and rode off with prisoners and booty. In February 1645, Sir Marmaduke Langdale brought 1,500 Royalist troops back through the town and killed around 300 of the defenders. Legend long held that the hillside was ankle-deep in blood, giving Ankle Hill its name, though the place name appears in documents predating the war. Three centuries later, RAF Melton Mowbray ran from 1942 to 1964 just south of the town, first as a maintenance airfield, then under Transport Command. From 1946 to 1958, the base housed Polish soldiers and their families through the Polish Resettlement Corps, refugees who could not safely return to a Soviet-controlled Poland. Then, from 1958 to 1963, 254(SM) Squadron operated three Thor nuclear missiles from the same site. A town that had spent a thousand years selling cheese became, briefly, one of the front lines of a war nobody wanted to fight.

St Mary's Church, dating mainly from the thirteenth to fifteenth centuries, has been called one of the finest parish churches in Leicestershire, and it dominates the skyline as you approach from any direction. Below it, the Anne of Cleves House in Burton Street is a fourteenth-century stone building that once housed chantry priests and was later given to Henry VIII's fourth queen as part of her divorce settlement, though whether she ever stayed there is anyone's guess. Now it is a pub. The Regal Cinema, with its winding staircases and period plasterwork, reopened in 2013 after refurbishment. The town's population of about 27,670 in 2019 makes Melton small enough that the pork pie and Stilton industries still matter and large enough to sustain a brass band, a community radio station, and a football club known, inevitably, as the Pork Pie Army.