Scorpius is generally associated with Orion and the goddess Artemis. There are several versions of the legend, which involve Orion either bragging that he is such a great hunter that he will kill every animal on earth, or actually being such a good hunter that he outhunts Artemis. In both versions a scorpion is sent (in story #1 by Leto, Artemis' mother, and in story #2 by Apollo, Artemis' brother) to kill Orion; Zeus then sets both the scorpion and Orion in the sky as a warning to other humans.
An alternative story is that of Phaeton, who tried to drive Helios' chariot across the sky. As Phaeton is driving across the sky, transporting the sun on its daily voyage, the scorpion spooks his horses. The runaway horses cause a lot of damage, including the scorching of northern Africa into the Sahara desert, and Zeus is forced to strike Phaeton with a lightning bolt to stop him from doing even more harm.