In the tenth century the marauding Danes sailed up the Lea to plunder the towns of Hertford and Ware. In the year 984 it is recorded that King Aflred dammed the Lea at its junction with the Thames at Blackwall and dug drainage ditches south of Waltham, thus reducing the depth of water in the Lea further upstream. The river was no longer navigable in its upper reaches and the Danes were stranded. Their raiding party was ultimately defeated as a result of this stratagem.

Saxon Spearhead, which is on display at the museum

Perhaps the best known of the later Saxon kings was Harold who, whilst he was king, had a hunting lodge at Nazeing. Here Edith Swan-neck often stayed, and Harold frequently passed through Waltham on his journeys to and from the capital. Waltham was a small village said to have been founded by Tovi, standard bearer to King Canute, about the year 1035. It had a church dedicated to the Holy Cross, and legend has it that the miraculous cross was discovered by a blacksmith whilst digging in a field near Montacute in Somerset. It was loaded on a cart and the names of various sacred shines were called. At the name of Waltham the oxen becan to move. This reflects the simple and gullible attitude of the people of these times; a further account says that when the cross was fixed up in the church blood ran from the wood as the nails were driven in. It is also said that Harold endowed the church at Waltham as a thanksgiving for his recovery from some form of paralysis. After the Battle of Hastings in which Harold met his death, it is claimed that his body was brought to Waltham for burial.

Remains of Saxon occupation in Cheshunt are few. A spearhead of the period was found in Bonneygrove in 1961 and a scramasax was dredged from Waltham Cross gravel workings in 1954.