This proverb dates back to Renaissance times, but the sentiments behind it can be traced much further back. For example, in Euripides' play Medea, the title character observes:
"In all other things a woman is full of fear, incapable of looking on battle or cold steel; but when she is injured in love, no mind is more murderous than hers." 263
The proverb's origins may be found in The Knight of Malta (c. 1619) by English playwrights Francis Beaumont and John Fletcher:
"The wages of scorn'd love is baleful hate."I. i.
The first recorded occurance of the proverb is in Colley Cibber's comedy Love's Last Shift (1696):
"No fiend in hell can match the fury of a disappointed Woman! - Scorned! slighted; dismissed without a parting Pang!"IV. 71
The quote from William Congreve's tragedy Mourning Bride (1697) clarified the quote to its current form:
"Heav'n has no Rage, like Love to Hatred turn'd, Nor Hell a Fury, like a Woman scorn'd." III. 39
The Fury in the Congreve quote is a reference to the goddesses of classical mythology who avenged wrong and punished crime.