The original theatre was built in 1793 but was destroyed by fire in 1908. The present building was opened on 17 December 1910  under the ownership of Sir William Shipley.

With the coming of talking pictures, the theatre was turned into a cinema in 1929. Beginning in 1931 John Counsell (1905-1987) made several attempts to return the theatre to its roots, and by 1938 managed to form what became arguably England's best known repertory theatre with a standing company of actors, becoming a great success when members of the nearby Royal Family, when in residence at Windsor Castle, decided to attend.

He and his actress wife Mary Kerridge worked ceaselessly for this theatre, which remained unsubsidized, until his retirement in 1986, the year before his death. The theatre became known as a tryout date for productions heading for the West End, and also started many a future star's career.

Sir Peter Hall staged his first professional play at the theatre in 1953, the same year that he graduated from Cambridge University.

In 1997, the West End impressario Bill Kenwright took over the management of the theatre.