The Blues were among the founder members in 1893 of the Corryong Football Association, the competition which, after several name changes, became the Upper Murray Football League in 1937. The side finished second in its debut season and again in 1895 before claiming its first premiership in 1896. This inaugural flag was won on the basis of the number of premiership points attained during the home and away season, but by the time Cudgewa won the flag, in 1904, the Association had introduced a finals system. The Blues won that year's grand final against Corryong, and by the time of the outbreak of world war one had added further such triumphs at the expense of Federal in 1911, Corryong in 1913, and Federal in 1914.

Between the wars Cudgewa claimed another four premierships but it was during the first four decades after world war two that the club really came into its own. Over the course of the forty-one season period from 1946 to 1986 the Blues contested no fewer than twenty-four senior grade grand finals, winning sixteen of them.