Captain Matthew Flinders first charted the island's north coast and named it Kangaroo Island on his voyage of discovery in 1802.
From 1801 to 1803 French explorer, Nicholas Baudin, also undertook an expedition of Terra Australis and landed in Hog Bay (Penneshaw) in early 1803. During this expedition Baudin named many sites on the south coast of Kangaroo Island.
Later that year near Victor Harbor, at a location now known as Encounter Bay, Flinders met up with Baudin and they exchanged charts and continued on their separate voyages.
Ephraim Bates and his family came to Australia aboard the Melbourne on 6 December 1858. The family moved to Cygnet River for 12 months where they cut sleepers for the Gawler Railway. The family then tried their luck in the goldfields of Victoria but were unsuccessful. In 1861, Ephraim purchased part of the property, which is now Baudin Conservation Park, and moved his family to Penneshaw.
Joseph (Harry) Bates, the son of Ephraim, was awarded a mail contract in 1870 to bring mail from Cape Jervis to Cygnet River. He used Ironstone Creek Cove as a landing place on Kangaroo Island.
When pastoral leases were cancelled on the property, Harry applied for an area of land near the coast in 1876 near to his boat landing place. Harry could also gauge the weather conditions from this point. The area was taken up on credit agreement but Harry did not own the lease until 1904. Today, this parcel of land is part of Baudin Conservation Park.
Barley was grown on the property in the early 1900s. The soil was relatively fertile, with reports of about six bags of barley per acre being harvested annually from the property. During this period the threshing floors were built and used extensively.
In later years, potatoes and cabbages were grown at Ironstone Hill. Turkeys were also raised on the property, but the principal produce was sheep, barley, oats and wheat. The cereal crops were mostly grown for fodder, not grain.
Vincent Bates owned the property that made up the park up until his death in 1995. The land remained in the Bates family until the Penneshaw community successfully lobbied National Parks and Wildlife SA to purchase the property which occurred in 2000.
Baudin Conservation Park was officially dedicated on 3 April 2002. Since then extensive revegetation has been undertaken with the assistance of local volunteers providing important habitat for the rare glossy black cockatoo.