Settled in 1849, the town of Jessup was named after Judge William Jessup. It was presented to the Luzerne County Court for incorporation as the Borough of Winton in December 1876. Two years later, Lackawanna County was incorporated. The early 1890s were very significant for the little town, as numerous new mining operations were opened. Shortly after these were opened, immigrants from Europe were lured to the area by the work available in the booming anthracite coal fields.

It was mostly Italian immigrants that came to Jessup in search of jobs in the coal mines, among others. They arrived via Ellis Island, New York in the late 19th century. The Italians who settled in Jessup, and the immediate surrounding communities, came mostly from small towns in the Region of Umbria, Province of Perugia. Gubbio, Gualdo Tadino, Scheggia, and Sassoferrato, for example, sent many hard working individuals to the Lackawanna Valley for economic opportunity. It was from Gubbio, Italy that the immigrants brought the annual festival known as Saint Ubaldo Day. This festival is still held to this day in only Jessup and Gubbio.

Gubbio, incidentally, is "Sister City" to Jessup resulting from a process that began in May, 1978 and was completed formally in May, 2004. As customary in Italy, Gubbio refers to Jessup as its "Citta Gemellata" or "Twinned City". 2009 will be celebrated as the 100th year anniversary of Saint Ubaldo Day in Jessup and numerous commemorative celebrations were planned by the Saint Ubaldo Society to mark the occasion.