Founded upon statehood in 1907, Beckham County was named for J. C. W. Beckham, who was Governor of Kentucky, and as the first popularly elected member of the United States Senate from Kentucky (there was also a short lived sister-county counterpart, Beckham County, Kentucky from February 9, 1904 to April 29, 1904, was dissolved by the Kentucky Court of Appeals because it was not created in conformance with state law).
As of the census of 2000, there were 19,799 people, 7,356 households, and 5,002 families residing in the county. The population density was 22 people per square mile (8/km²). There were 8,796 housing units at an average density of 10 per square mile (4/km²). The racial makeup of the county was 87.05% White, 5.55% Black or African American, 2.58% Native American, 0.41% Asian, 0.02% Pacific Islander, 2.24% from other races, and 2.16% from two or more races. 5.45% of the population were Hispanic or Latino of any race.
There were 7,356 households out of which 32.30% had children under the age of 18 living with them, 53.80% were married couples living together, 10.40% had a female householder with no husband present, and 32.00% were non-families. 28.50% of all households were made up of individuals and 13.50% had someone living alone who was 65 years of age or older. The average household size was 2.44 and the average family size was 2.99.
In the county, the population was spread out with 24.10% under the age of 18, 9.80% from 18 to 24, 29.60% from 25 to 44, 21.10% from 45 to 64, and 15.50% who were 65 years of age or older. The median age was 37 years. For every 100 females there were 109.60 males. For every 100 females age 18 and over, there were 111.80 males.
The median income for a household in the county was $27,402, and the median income for a family was $34,315. Males had a median income of $26,387 versus $18,945 for females. The per capita income for the county was $14,488. About 14.30% of families and 18.20% of the population were below the poverty line, including 24.80% of those under age 18 and 9.10% of those age 65 or over.