The Band of Blue was established in 363 AC during The Battle Between the Blueberries on the Gold Road. After the successful repulsion of the attackers, the knights in the party vowed to protect the small folk, for a fee fitting of the small folk. Whether it be clothing, food, or other sort of recompense the knights would take the job.
One of their first contracts was for a jeweler from King's Landing looking to be escorted around the Seven Kingdoms to sell his wares. While a trivial task, the knights accepted for the merchant had no other means of defending himself and needed the coin. This resulted in the founding members all receiving their own personal rings with blue stones crafted into its core. The knights found it fitting and from then on out all members would receive their own similar token to prove their allegiances.
Throughout the years the company would grow, and the knights would take on more noble ventures, especially during the War of the Seven Banners, but their framework to protect the small folk of Westeros stayed the same.
In 375 AC the company found itself in troubling times while pursuing a band of raiders around the God's Eye. They were betrayed by fellow brothers in arms who were bribed by the group they were after prior to taking the contract. Both Band of Blue deserters and raiders pillaged and slaughtered the small local villages along the coast, leaving the mercenary company of knights a tarnished name.