The merchant John Scott and his daughter Jane founded the theater in 1806 as the Sans Pareil. It reopened as the Adelphi on October 18, 1819. The New Adelphi opened on December 26, 1858, with 1,500 seats and standing room for 500 more. Its gas lighting system was called Stroud's Patent Sun Lamp.
The present building opened on December 3, 1930, in an Art Deco design by Ernest Schaufelberg. The theater hosted the first public performance of Arthur Sullivan's Cox and Box in 1867 and the final night of the D'Oyly Carte Opera Company in 1982.
A proposed redevelopment of Covent Garden threatened it in 1968, but a campaign halted the scheme. The musical Chicago ran there from 1997 for about eight and a half years. It has been Grade II listed since December 1, 1987.

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