The Current Population Survey originates with a program set up to provide direct measurement of unemployment each month on the basis of a random sample of the U.S. population. There were several earlier attempts to estimate the number of unemployed that ranged from guesses to enumerative counts. However, the effort to accurately determine the nation's unemployment became especially important during the economic depression of the 1930s.

To more accurately determine the rate of unemployment, the research staff of the Work Progress Administration (WPA, later know as the Work Projects Administration) began developing techniques for measuring unemployment in the late 1930s, first on a local-area basis and subsequently on a national basis in the form of the "Enumerative Check Census" taken as part of the 1937 Census of Unemployment. The Enumerative Check Census was the first attempt to estimate unemployment on a nationwide basis using probability sampling.The research and experience from the Enumerative Check Census led to the WPA's monthly Sample Survey of Unemployment beginning in March 1940.

In August 1942, responsibility for the Sample Survey of Unemployment transferred to the U.S. Census Bureau, which substantially revised the sample methodology in October 1943. The households in the revised sample were in 68 "Primary Sampling Units" (PSU's), comprising 125 counties and independent cities. By 1945, about 25,000 housing units were designated for the sample, of which about 21,000 contained interviewed households.

In 1954, the sample of PSU's expanded from 68 to 230, without change in the number of sample households or the agency's operating budget. The redesigned sample, as a result of a more efficient system of field organization and supervision, made it possible to provide more information and increase the accuracy of published statistics. The expansion also provided more reliable regional and national estimates for some characteristics.