The property traces its history back to 1520 when it was owned by the Crown. The oldest part of the current house dates from about 1680 when it was a combined inn and agricultural estate. Notable guests who stayed at the inn include Ludvig Holberg and Johannes Ewald. Ewald lived there from 1773 to 1775 and wrote many of his poems, including The Delights Of Rungsted. An Ode. The locale also inspired him for The Hishermen, asingspiele remembered for Kong Christian stod ved højen mast, the Danish royal anthem.
The inn closed in 1803. Aron David, who owned it from 1821 to 1868, merged it with the adjoining properties Rungstedgaard, Sømandshvile og Folehavegaard.
In 1879 the estate was purchased by Wilhelm Dinesen, father of Karen Blixen, and after his marriage to Ingeborg Westenholz in 1881 they took up residence there. At that time the estate consisted of four wings but two burned in 1898 and were never rebuilt.
Karen Blixen spend her childhood at Rungstedlund and took up residency there again after she returned from Africa in 1931. She lived there until her death in 1961 and did most of her writings in the Ewald Room. She is interred in the park.
In 1958 Karen Blixen and her siblings founded the Rungstedlund Foundation which was to own and manage the estate after her death. The Karen Blixen Museum was founded in 1991
