With the passage of time, the people of Leizhou have attached various legends to the precious sculptures. It is said that the name "Leizhou" is also associated with the stone dog.

According to legend, during the reign of Chen Taijian of Wuli Baiyuan village of the ancient Hezhou Prefecture, he raised a nine-eared dog as his gun dog. One day, when all of the dog's nine ears started moving simultaneously, Chen invited over 10 neighboring hunters to go hunting in Wulun Mountain, located in the north of the prefecture. During the expedition, Chen's dog dug up a big egg from the ground, which the owner carried home. The next day, a thunderbolt split the egg open, from which jumped out a little boy with the characters "Lei" and "Zhou" imprinted on his hands. Chen named the boy Chen Wenyu, and the Hezhou Prefecture was later renamed "Leizhou".

Since Chen Wenyu had both ability and moral integrity, he was designated as the first governor of Leizhou. He handled the political administration well, loved his people and stabilized the Leizhou's economy. To show their respect, people of later generations built a temple containing his statue in his honor, calling him "Lei Ancestor"; the dog was also deified and worshiped by the people.

According to another legend, Leizhou once suffered a serious drought. A visionary blamed the disaster on the mischief of the sun god and said that only the heavenly dog could convince the sun god to produce rain. Hearing the visionary's words, the people of Leizhou thought of the heavenly dog's brother, the earthly dog. Therefore, they organized a procession along some desolate slopes while lifting a stone dog with a rope; they whipped the statue in the hope that it would beg the heavens for rainfall. Finally, the earthly dog ascended to the heaven to present his case. As a result, the heavenly dog barked at the sun god to gather clouds for a rainfall, threatening to bite him if he did not comply. Terrified, the sun god made an appeal to the thunder god, the mother of lightning and the cloud master for rainfall. Three days later, it rained in Leizhou and, that year, the people enjoyed a bumper harvest.