Effingham appears in the Domesday Book as Epingeham, a settlement in the hundred of Copthorne. The manor was held by various families through the medieval period, but the village's most famous historical connection is to Charles Howard, 2nd Baron Howard of Effingham and 1st Earl of Nottingham. As Lord Admiral, Howard commanded the English fleet that defeated the Spanish Armada in 1588, one of the defining events of Elizabethan England. The Howard family held the manor for generations, and the local secondary school, Howard of Effingham, bears the name.
St Lawrence Church has Norman origins, and the building retains elements from several centuries of alteration and addition. The churchyard contains memorial stones dating from the 17th century onward, and the church registers provide one of the most complete records of village life in the area. For centuries, Effingham was a quiet agricultural community, its farms supplying produce to the markets at Leatherhead and Guildford. The common land at Effingham Common and the nearby Bookham Common (managed by the National Trust since 1923) have been grazed and managed for centuries.
The village remained relatively unchanged until the 20th century. Effingham Junction station, opened in 1885 on the New Guildford Line, connected the village to London and gradually brought new residents. Effingham Golf Club was established in 1927 on the chalky downland north of the village, taking advantage of the well-drained turf and views across the Mole Valley. The King George V playing fields, opened after the First World War, provided the village with permanent green space. Through all these changes, the village retained its core around the church, the pub, and the lanes, and it remains a recognisable village rather than a suburb.