Legend ascribes the foundation of the town as far back as the time of Rama, the hero of Ramayana, whose consort Sita is supposed to have resided here. The locals still point out the place where Ramas palace stood. At the desire of a wealthy Muslim merchant, who is said to have been a great benefactor of the place, it was named as Jalna, from his occupation of Julaha or weaver.
During Akbars time Jalna was held in as jagir by one of his generals, and Abul Fazl has made it his residence for a short period. Nizam ul Mulk Asaf Jah also favoured the town as being healthier than Aurangabad.
The place has had frequent changes of masters. For a long time, it was held by one of the Shinde's dependents, but shortly after the battle of Udgir in 1760, a rival claimant from Pune endeavoured to seize it. It was taken possession of by Colonel Stevenson's Troops in 1803 in the famous Battle of Assaye, a village in Jafrabad tahsil on the river of Juah located around 10 K.M east of Bhokardan. After which it finally reverted to the Nizam of Hyderabad
