The first Known written record of Cosby (Cossebi) appears in the Domesday Book of 1086 when it is recorded that 40 families lived in the village compared with about 1400 at the beginning of the new millennium 900 years or so later.
Cosby's 'Scandinavian' place name indicates that the village existed here several hundred years earlier, dating to the time of the Danish invasion in the earlier parts of the 9th century. However it is possible that there may have been an even earlier settlement here in Saxon or even Roman times given that the Fosse Way bounds the Parish to the north. Although no buildings survive from these early periods in Cosby's history there area number of historic buildings still standing in the village.
The oldest is the 14th century Parish Church, built in the English Perpendicular style, while the adjacent cruck-framed barn dates from the middle of the 15th century. Close to the church is the early 17th century house known as Brooks Edge. This is the historic home of the Armston family who lived in the village for more than 800 years.
One member of this pro-Royalist family escaped after the battle of Naseby and hid out in Whetstone Gorse. Cromwell's soldiers questioned many people as to his whereabouts, including his small son who refused to divulge his father's hiding place. According to the legend this took place in the family home at Brooks Edge and was celebrated in William Fredrick Yeams' famous painting "When Did You Last See Your Father".