Actually, competing in several events dates back more than 2000 years ago. In ancient Greece athletes competed in a pentathlon during the Olympic Games. The five events in that competition were: stadion (running event), wrestling, long jump, discus and javelin throw (the order of events is not known). Already at that time, these athletes were honoured as some of the most skilled athletes and actually the pentathlon was considered as training for battle.
Decathlon was introduced in modern athletics in 1904, during the Olympic Games in St. Louis, though not exactly in the form we know it today. 8 years later, during the Olympic Games in Stockholm, the first "real" decathlon was won by James Thorpe from the United States. Since then it has always been one of the most valuable competitions of each Olympic Games, for men only of course.