According to tradition, Mikonos was named after Mikonos, the son of Apollo Anios. Because of his father, the island of Mikonos was called "the island of the light". According to another myth, Neptune, during his battle against the Giants, threw huge rocks that fell into the sea and formed the wild, rocky ground of the island. The nearby, deserted island of Delos is linked to one of the saddest myths. The beautiful Leto slept with Zeus and this union bore two children, Apollo and his twin sister, Diana. According to myth, Leto was running around, looking for a place to give birth to her children, yet nobody would help her, as they feared the revenge of Hera. After coming to the infertile island of Delos, Leto vowed on the sacred waters of Stigos that her son would not forget his motherland and, as a god, he would establish his first temple there. Thus, the island gave its permission to Leto to give birth to her children there. Another myth claims that Delos was a nymph with whom Zeus fell in love. Delos, out of respect for Hera, became a star and fell into the sea. Zeus got angry with her and punished her by leaving her wandering in the sea. When Leto arrived here and asked if she could have her children, Asteria -the island's name at the time- embraced Leto with affection. When Apollo was born, out of gratitude, he erected four columns, the island's foundation on the bottom of the sea. The island has been called Delos ever since, as its position was stabilized and obvious for the first time ("delos" means obvious, in Greek).

The history of Mikonos begins with its first inhabitants, who are said to have been Leleges or Kares. They were followed by the Egyptians, Phoenicians and Cretans, while, in 1,000 BC, the island was inhabited by the people of Ionia. Mikonos was a member of the First Athenian Alliance in 478 BC. After the Romans occupied the Cyclades and Delos was declared a free port, the island of Mikonos flourished, unfortunately only until 88 BC, when Delos was destroyed by Mithredates. In the Byzantine years, Mikonos was a member of the province of Achaia, originally, while later it became a member of the Scheme of the islands. After the Franks dissolved the Byzantine Empire, Mikonos was occupied by the Venetians, only to be submitted to the Gizi family, who ruled until 1390. In 1537, Mikonos was conquered by the pirate Barbarossa and was submitted to the Turks until the Revolution of 1821, to which Mikonos took an active part. The Revolution's heroine, Mando Mavrogenous, born in Mikonos, gave her entire fortune for the cause and was personally involved in informing foreigners, not only about the battles, but also about the war's campaign. The island was liberated along with the rest of the Cyclades, yet poverty drove the locals to migration, until 1950, when tourism began to grow, at first for touring ancient Delos. People began to know Mikonos and were impressed by the natural beauty. Ever since, the island's tourism has thrived. Unlike Mikonos, Delos thrived in ancient times. The first inhabitants were Kares, but after the settlement of Jones, the island became a religious and commercial centre. Delos was occupied by the Athenians, the Macedonians, the Ptolemese, the Romans, while in 88 BC it was totally destroyed by Mithredates.