In 1935, representatives of Rigsdagen, Rønne municipality and Det Danske Luftfartsselskab (DDL) − later a part of Scandinavian Airlines System − agreed to establish an air connection between Rønne and Copenhagen. The following year A/S Den bornholmske Flyveplads was founded, with airport construction beginning in 1937. Two years later the first route commenced on a temporary licence from the air transport inspectorate. Flights were however suspended after several days due to runway problems. The airport was officially opened on 16 November 1940, with DDL operating a daily route to Copenhagen. The first temporary terminal was erected shortly after, in 1941, however it wasn't until 1961 that the proper terminal building was built. In 1947 the Danish state took control over the airport, changing its name to Rønne Airport. The name of the airport was changed again in 1992, this time to Bornholm Airport in order to facilitate its marketing as a holiday destination.

In 1982, the operations were taken over by Maersk Air, later a part of Sterling Airlines. Heavy losses of the former forced it to abandon the route in 2002, which was then taken over by Cimber Air. In 2005 Danish Air Transport became the second carrier at Bornholm Airport, increasing competition on the route. The airline decided to abandon the Copenhagen–Bornholm route in 2008, but took it up again after the bankruptcy of Cimber Sterling in 2012.