The architect Charles J. Phipps built the original on the site for actor-manager Edgar Bruce in January 1884. It was called the Prince's Theatre at first, a three-tier hall with just over a thousand seats. Two years later it was renamed for the future Edward VII, then still the Prince of Wales. Lillie Langtry - reputed to be the first society lady to become an actress - played here in 1885. The first hit was a comic opera called Dorothy starring Marie Tempest; it ran so long that the profits funded the construction of the Lyric Theatre, where the show moved in 1888. On 23 December 1886, Henry Savile Clarke and Walter Slaughter's musical Alice in Wonderland - the first major stage production of Lewis Carroll's books - opened here with Phoebe Carlo in the title role. Carroll himself attended a performance seven days later.

By the 1930s the eight-hundred-seat theatre was felt to be too small. On 17 June 1937, the singer Gracie Fields stood on the foundations and sang to the workmen as she laid the foundation stone of a new Art Deco building designed by Robert Cromie. It opened on 27 October that year with about 1,100 seats, a larger stage, and a strikingly stylish stalls bar - the bar itself ran fourteen metres long and incorporated a dance floor. The first show, Les Folies de Paris et Londres starring George Robey, continued the old theatre's long tradition of risque revues. In 1941, the new Prince of Wales screened the UK premiere of Charlie Chaplin's The Great Dictator. The film had been banned across much of Europe, and the theatre's owner Alfred Esdaile was fined for showing it.

Strike a New Note, opening in 1943, gave the comedian Sid Field his London debut, and Field returned for Strike It Again the next year and Piccadilly Hayride in 1946, the last of these running 778 performances. In 1948, Mae West brought her show Diamond Lil to the Prince of Wales. The next year saw Mary Coyle Chase's Harvey, the gentle comedy about an imaginary six-foot rabbit. Through the 1950s, the stage hosted Norman Wisdom, Peter Sellers, Bob Hope, Gracie Fields, Benny Hill, Hughie Green, Frankie Howerd, and the double act of Morecambe and Wise. The World of Susie Wong opened in 1959 and became the theatre's longest-running play to that date, with 832 performances. The Prince of Wales had become a place where British variety performed for the largest possible audience and saw itself reflected back.

The 1960s and 1970s brought the Broadway musicals: Funny Girl in 1966 with Barbra Streisand, Sweet Charity in 1967, Promises Promises in 1969. Then in 1989 Andrew Lloyd Webber's Aspects of Love opened and ran 1,325 performances, smashing every previous box-office record at the theatre. A 2004 refurbishment by Sir Cameron Mackintosh - the theatre's current owner - bumped capacity to 1,160 seats, rebuilt the auditorium, and added LED lighting that lit the tower above Coventry Street in a clean modern wash. ABBA's Mamma Mia! reopened the house on 16 April 2004 and stayed until September 2012, finally breaking the Aspects of Love record. Mamma Mia! moved to the Novello; The Book of Mormon arrived in February 2013, closed during the COVID-19 pandemic in March 2020, reopened on 15 November 2021, and on 6 June 2024 celebrated its 4,000th performance at the theatre.

Located between Piccadilly Circus and Leicester Square, the Prince of Wales sits at one of the busiest theatrical addresses in the world. The 1937 building was Grade II listed by English Heritage in April 1999. It has been a comic opera house and a Broadway transfer destination and a touring stop and a Royal Variety venue and an Art Deco landmark. The current Book of Mormon residency continues a tradition that began with a comic opera called Dorothy in 1884 - and in between the theatre has hosted a young Cassius Clay-era Beatles, a Mae West deep in her renaissance, and a Barbra Streisand at twenty-three. Two pounds of West End real estate, and 140 years of show business condensed onto one stage.