It’s usually nothing to worry about.
However, there are many more benign scenarios. It’s possible your browser may simply be doing a good job protecting you.
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Malware often works by forcing your browser to go places you would never go. PUPs, in particular, can add toolbars and other software to your system that intercepts what you’re doing and just rudely takes over, sending you to bogus search sites or worse.
These days, my first recommendation when you run into unexpected history entries is to make sure your machine has no malware. In particular, I suggest you run the tools outlined in How Do I Remove PUPs, Foistware, Drive-bys, Toolbars, and Other Annoying Things I Never Wanted?
Traditional pop-ups and pop-unders
Many websites employ pop-ups: additional browser windows that open when you visit the site. These typically contain ads for which the site owner gets paid. Pop-unders are similar; they are additional browser windows created when you visit a site, but placed behind your current browser window, so they’ll be visible when you exit the browser.
Pop-up blockers — now built into most browsers — keep pop-up and pop-under windows from displaying. The blockers intercept the requests to create new browser windows and prevent them.
My theory is that the URLs behind blocked pop-ups sometimes still appear in your history, having been added to the list before the pop-up is blocked. You’ve never seen the site, but it’s there in the list.
One page, many sources
Depending on how your browser handles these requests, it’s possible that these page elements could appear as individual entries in your history. You wouldn’t recognize them, because they’re not pages you explicitly visited, but they’re present because they were part of some page you did.
Many web browsers now include a feature where they begin fetching the pages linked to in the page you’re currently viewing.
The idea is that when you click a link on the page, if all or even some of it has already been downloaded, it’ll come up much more quickly. That there’s downloading going on you didn’t explicitly ask for is typically not an issue, because you’re busy reading the page you originally requested.
Once again, whether these pages appear in the browser history or not depends on the browser. In theory, I’d only expect them to appear for the links you’ve actually clicked, or pages you’ve actually viewed, but browser designers could decide otherwise.
Most of the time, this pre-load feature is something you can turn off in the options for the specific browser you use.
Ultimately, unless someone else is using your computer when you’re not looking — which is also something worth checking for — I believe this issue is typically benign.
However, that shouldn’t stop you from taking the appropriate precautions to keep your computer safe.
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Footnotes & References
1: I do a variation of this myself. Many of the images I display come from a completely different domain or “site”, for example.