Sunbury has two centres - Lower Sunbury or Sunbury Village near the River Thames, and Upper Sunbury incorporating Sunbury Cross. At the time of the Domesday Survey in 1086 'Suneberie', meaning 'Sunna's homestead or burgh' from a Saxon personal name, belonged to the abbey at Westminster. 'Sunna' is mentioned here in a charter of 967 A.D. There was also a separate manor of Kempton or 'Chenetone' held by the Count of Mortain in 1086. Kempton had been held by Wulfwar Wight, a thane of King Edward the Confessor, before 1066.

There has been a church at Sunbury since at least 967 A.D. but the medieval church was pulled down in 1751. It was said to be too small for a congregation swelled by the numbers of people who had discovered Sunbury as an attractive place by the river in which to live. The tower and cupola of the 18th century church survive, but the rest was rebuilt in 1856 by the well-known Victorian church architect, Samuel Teulon. The church was restored in 1972.

The railway station at Sunbury opened in 1864 and soon the first commuters arrived. Nowadays the close proximity of the M3 motorway has also boosted the area.

The racecourse at Kempton Park opened in 1889 and its most famous race, run each Boxing Day, is the King George VI Steeplechase, which attracts many thousands of spectators. Recently an all-weather track for flat racing has been built at Kempton Park.