The project was conceived by Edwyn Sherard Burnaby (1830 to 1883), a Leicestershire MP who wanted to see the Royal Tournament and other military and agricultural spectacles staged on a larger scale than the Royal Agricultural Hall in Islington could manage. He picked a former market garden in West Kensington, immediately adjacent to Addison Road station on the West London Railway - the railway connection mattered, since visitors had to come from across the country. The architects Henry Edward Coe and James Edmeston designed the Grand Hall and the Minor Hall (now the Pillar Hall) in an Italianate style, with engineering by Arthur T Walmisley and Max Am Ende. The wrought-iron roof, fabricated by Handyside of Derby, spans the Grand Hall with a single great arch - a Victorian engineering flourish that still gives the room its drama. It opened in 1885 as the largest indoor exhibition space in England, and was branded Olympia almost from the start.

The original agricultural rationale lasted about ten minutes. Olympia evolved into a general-purpose exhibition palace in the tradition of the 1851 Great Exhibition, hosting whatever could draw a paying crowd. The International Motor Exhibition ran annually from 1905 to 1936. The 1st World Scout Jamboree was held here from 30 July to 8 August 1920, drawing scouts from across the British Empire and beyond. The Royal Tournament filled the hall with military pageantry. Boxing championships brought Gunboat Smith against Georges Carpentier on 16 July 1914. The 1923 annexe - Olympia National, by architects Holman and Goodrham - extended the floor space. The 1929 Empire Hall, now Olympia Central, was designed by Joseph Emberton in an emphatic Art Deco that contrasted with the older Italianate frontages.

Olympia has staged its share of political theatre, and not all of it has been edifying. On 7 June 1934, Sir Oswald Mosley held a mass rally of his British Union of Fascists in the Grand Hall. Some 12,000 attended, many in the movement's blackshirt uniform. Anti-fascist demonstrators - socialists, communists, Jewish community members, ordinary trade unionists - had infiltrated the hall, and as Mosley spoke they began heckling. Stewards in uniform pulled hecklers from the audience and beat them in front of other attendees. Press observers, several of them sympathetic to Mosley going in, were horrified by what they witnessed. Coverage of the violence helped turn public opinion decisively against the BUF and contributed to the loss of mainstream political support the movement had been cultivating. Eighty-five years later, in May 2019, Nigel Farage's Brexit Party held a European Parliament election rally at Olympia despite the owner's stated objection to their policies. The hall, as ever, takes who pays.

The list of bands and performers who have played Olympia reads like a fragment of British popular music history. The Jimi Hendrix Experience played here on 22 December 1967. Status Quo on New Year's Eve 1975. Procol Harum the day after that. Bad Company in January 1977, then Rod Stewart that same month. The Cure played four nights in November 1992. The Smash Hits Awards were broadcast from here on 6 December 1992. Fairuz, the great Lebanese vocalist, sang here in March 1994. The Chemical Brothers brought their breakbeats in August 2008. Bloc Party played in May 2009. Primal Scream in November 2010. Foals did a four-night residency in 2022. In December 2018 Hatsune Miku - the Japanese vocaloid pop phenomenon - performed her first UK concert here, virtual blue hair filling the venue with thousands of glow sticks held by a crowd half her age and half her age plus thirty.

In May 2021 demolition began on the non-listed parts of the complex, the start of a comprehensive redevelopment intended to keep significant exhibition space alongside new uses. The plans, in addition to the 1,575-seat Olympia Theatre, include a 4,000-seat music venue, hotels, rehearsal spaces, cinemas, retail and dining, and reorganised public spaces. In October 2025 the Shubert Organization, the New York theatrical empire behind much of Broadway, joined with Trafalgar Entertainment to operate the new Olympia Theatre - bringing American theatre management into one of London's great Victorian exhibition halls. The London Snow Show returned to Olympia in October 2025 after a fifteen-year absence. Olympia, in other words, is doing what it has always done: change shape to fit whatever crowd is coming next.