While food resembling doughnuts has been found at many ancient sites, the earliest origins to the modern doughnuts are generally traced back to the olykoek ("oil(y) cake") Dutch settlers brought with them to early New York. These doughnuts closely resembled later ones but did not yet have their current ring-sized shape. One of the earliest mentions of "doughnut" was in Washington Irving's 1809 book A History of New York, from the Beginning of the World to the End of the Dutch Dynasty.

Hanson Gregory, an American, claimed to have invented the ring-shaped doughnut in 1847 aboard a lime-trading ship when he was 16 years old. Gregory was dissatisfied with the greasiness of doughnuts twisted into various shapes and with the raw center of regular doughnuts. He claimed to have punched a hole in the center of dough with the ship's tin pepper box, and to have later taught the technique to his mother. Smithsonian Magazine states that his mother, Elizabeth Gregory, "made a wicked deep -fried dough that cleverly used her son's spice cargo of nutmeg and cinnamon, along with lemon rind," and "put hazelnuts or walnuts in the center, where the dough might not cook through", and called the food 'doughnuts'.

Another theory on their origin came to light in 2013, when a recipe for "dow nuts" was found in a book of recipes and domestic tips written in 1800 by the wife of Baron Thomas Dimsdale, the recipe being given to the dowager Baroness by an acquaintance who transcribed for her the cooking instructions of a local delicacy, the "Hertfordshire nut".