The church of St Nicholas is of 15th-century origin, it was rebuilt by Richard Coad in 1869, although the Perpendicular tower remained.The hamlet of Gunby is situated close to the borders with Leicestershire and Rutland, and 9 miles south from Grantham, and 2 miles west from the A1 road.The village name derives from a "farmstead or village of a man called Gunni", from the Old Scandinavian person name, and 'by', a farmstead, village or settlement.