early 14c., "to pierce, penetrate," metathesis of Old English þyrlian "to perforate, pierce," from þyrel "hole" (in Middle English, also "nostril"), from þurh "through" (compare Middle High German dürchel "pierced, perforated;" see through) + -el. Meaning "give a shivering, exciting feeling" is first recorded 1590s, via metaphoric notion of "pierce with emotion." Related: Thrilled; thrilling.

"a shivering, exciting feeling," 1670s, from thrill, v.. Meaning "a thrilling experience" is attested from 1936.