Prior to the creation of George County, Bexley was located in Greene County.[2]
The Diamond Lumber Company opened a sawmill in Bexley in 1901. The mill was capable of sawing 50,000 ft (15,000 m) of pine per day. The company built a shortline railway running south from Bexley. The mill closed in 1918.[3]
Bexley was a stop on the mainline of the Illinois Central Railroad.
A post office operated under the name Bexley from 1900 to 1971.[4]
The Bexley School operated from 1913 to 1959, and was one of the first consolidated schools in Mississippi (consolidation allowed two or more rural schools to combine).[5]
In 2010, George County Sheriff Garry M. Welford was killed in Bexley while assisting in a high-speed chase. Welford was attempting to lay spike strips at an intersection in Bexley, when the vehicle under pursuit struck him. Both occupants of the fleeing vehicle, a boyfriend and girlfriend, were sentenced to life in prison without parole.[6][7]