The Gulf was named after the river Lhûn or more commonly - Lune - as created during the War of Wrath when Beleriand was broken. At the location of Mount Dolmed and the Dwarven citadel of Nogrod, Belegaer broke through the mountains, creating the Gulf of Lune.
The remnant of Beleriand north of the gulf became known as Forlindon, and the part south of it as Harlindon (North and South Lindon). At the eastern end of the Gulf the Grey Havens of Mithlond were found, but smaller havens were established in Forlindon and Harlindon as well: Forlond and Harlond (North and South haven).
During the Second Age the ships of the Númenóreans first came to the Gulf of Lune to visit the Ñoldor and Sindar under Gil-galad who remained behind, and during the Third Age from it the ships of the Eldar passed away into the West.