Today's building was built on a site where stood Turkish cavalry barracks. А fortress wall, clay pipes, inscriptions with Thracian names were uncovered during its demolition.  The artefacts were not studied, the site was levelled and a solid stone building in the Renaissance style was built.

The construction started in 1895. The building was designed by architect A. Kolá? in Neo-Renaissance style and finished by Nikola Lazarov and Friedrich Grünanger in 1903.

The Military Club hosted the beginning of the Bulgarian theatre and opera; it is said that Prince Alexander I Battenberg often visited the cultural events in person.