Valburga was attested in written sources in 1324 as Sand Walpurch. It is named after Saint Walpurga, the patron of the local church. Locally, the settlement is known as Šentomperga. The name of the settlement was changed from Sveta Valburga to Valburga in 1952. The name was changed on the basis of the 1948 Law on Names of Settlements and Designations of Squares, Streets, and Buildings as part of efforts by Slovenia's postwar communist government to remove religious elements from toponyms. In the past the German name was Sankt Walburga.
There is a large manor in the settlement, known as Lazzarini Manor, Smlednik Manor, or Valburga Manor. It was built in the 17th century. The main hall is painted with high-quality frescoes with mythological themes in the illusionist style. The painting in the chapel vault is believed to be by Anton Cebej. After the Second World War, the manor was seized by the state and nationalized; from 1946 to 1990 the building was used as a special needs school. The manor is being renovated after a fire in 2007 and is not open to the public.