Sigma Gamma Rho Sorority, Inc. was organized on November 12, 1922 in Indianapolis, Indiana by seven young educators: Mary Lou Allison Little, Dorothy Hanley Whiteside, Vivian White Marbury, Nannie Mae Gahn Johnson, Hattie Mae Dulin Redford, Bessie M. Downey Martin and Cubena McClure.

Founder Mary Lou Allison Little would serve as acting Grand Basileus from 1922-1925 and go on to become the first elected Grand Basileus of the Sorority from 1925-1926.

On August 24, 1924, Sigma suffered a great loss when Founder Cubena McClure, a young talented artist who designed the Sorority pin, passed away. The remaining Founders carried on and the group became an incorporated national collegiate sorority on December 30, 1929, when a charter was granted to Alpha chapter at Butler University.

In 1937, the Sorority became a member of the National Pan-Hellenic Council. It would be the only Sorority of NPHC to be founded on a predominantly white campus, rather than at a historically black college or university.