The Rural Municipality of Coldwell's main community is Lundar and was originally known as the Swan Lake settlement, founded in 1887. The original settlers began dairy and cattle farming and fishing on Lake Manitoba. The Lundar-Coldwell area was settled in large numbers by the first and second generation Icelanders who originally landed in the Hecla and Gimli areas of the Interlake.

The Rural Municipality of Coldwell is named in honour of the Honourable G.R. Coldwell, the MLA for Brandon in 1907-1915. The first Minister of Education in the 1908 Legislature, Coldwell was instrumental in starting the system of consolidated schools.

The Post Office was established in 1890 and named Lundi by Postmaster Henrick Johnson after the farm in Iceland from which his bride came from. "Lundi" is Icelandic for meadow, and the mix-up in names resulted from a mistake in Ottawa. The 1892 Postal Guide listed it as Lundar under Post Master Henrick Johnson.

The RM was incorporated in 1913, and the unincorporated Village District of Lundar was organized January 1, 1982.