Penza city was founded under the rule of Tsar Aleksei Michailovich as a frontier outpost on the then southeastern border of Russia. Then in May 1663, Sir Yury Kontransky a ruler of Balakhna city and an architect arrived in Penza under the Tsar's orders with one hundred Cossack troops. He founded the city. A wooden Kremlin was constructed within short time frame.

For years, the fortress Penza served as a reliable barrier against Nomads -Kuban and Nogai horders. Nomadic tribes attacked Penza in 1668, 1680 and 1717 but they were not able to conquer it. In 1665, Tsar Aleksei Mikhailovich bestowed the icon of the Virgin of Kazan on the city as a blessing. According to legends, the icon saved the city from destruction during the Great Kuban Pogrom of 1717. The attackers burnt the southern part of Penza city to ashes and surrounded the fortress walls; when they saw the inhabitants of Penza city with the icon of the Virgin of Kazan in their hands, they retreated. The icon of the Virgin Kazan is considered to be the main relic of Penza city to this day.

The emblem of Penza Region is three sheaves out of wheat, barley and millet crops growing in the field; which means "prosperity and enrichment of local soil". The emblem was developed in 1781. Penza City has become an administrative center under the order of Russian Senate on September 9th 1801.  Well-known governors of the time were F.L.Vigel (1801-1809), G.S. Golitsyn (1811-1815), M.M. Speransky (1816-1819), A.A. Panchulidzev (1831-1859), N.D. Seliverstov (1867-1873), and P.D. Svyatopolk-Mirsky (1895-1898).

On February 4th 1939, Penza Region was separated from Tambov Region and was organized as an independent political unit with its center in Penza. The population of Penza city at that time was 160 thousand people. At the same time, Penza railroad was constructed which later became the part of Kuibyshev line of the railroad. Penza city has become the core center of mortar arms production during the World War II; based on the existing infrastructure of local food processing plants, the evacuated military plants were set up in Penza city.