Originally founded as The Lahore & Mian Mir Institute in 1878, the Lahore Gymkhana was based in the Lawrence and Montgomery Halls (named after Sir John Laird Mair Lawrence, first Chief Commissioner (1853-57) and Viceroy of India (1863-69) and Robert Montgomery, second Lt. Governor of the Punjab (1859-65) respectively) in the lush expanse of the Lawrence Gardens, opposite the sprawling estate of the Governor’s House. It aimed to provide social and recreational activities to residents of Lahore and its Cantonment.

The current name was adopted on 23rd March 1906. The halls were taken over by the Punjab Government in 1972, shifting the club to its present premises on the Upper Mall – previously the Lahore Gymkhana Golf Club, spread over an area of 117 acres. The two halls were re-adapted as the Quaid-e-Azam Library in the 1980’s.

The foundation stone of the existing Gymkhana building was laid on 5th March, 1968, by Nawab Muzaffar Ali Khan Qizilbash, the then Chairman of Lahore Gymkhana. The building was completed and occupied on 16th January, 1972.