Land was purchased in 1840 in Collins Street and the original building, a two-storey, rendered brick structure, was completed in 1842.
By 1854, two single-storey wings were added to the facade on either side of the entrance to provide commercial accomodation and a valuable source of income for the organisation. In 1872 a new hall was designed and built by architect Alfred Smith. The organisation was renamed the Melbourne Athenaeum and the refurbished building opened by the Governor of Victoria.
The next construction occurred in 1886, when the front of the building as it now stands was constructed, creating a three-storey building with a classical stuccoed facade, an example of the boom-style architecture of the late 1880s. A niche at the top contains a statue of Athena. The architects for the new work were Smith and Johnston.
In 1910, the upper hall was converted into an art gallery. The Athenaeum Art Gallery operated from 1911 to 1971 and many artists and art groups exhibited paintings, including such famous names as Arthur Boyd, Rupert Bunny, Arthur Streeton, William Rowell, Max Meldrum, Albert Namatjira, and H Septimus Power.
In 1921, the large hall was leased to Frank Talbot, who engaged the firm of Henry White and Gurney to build a modern theatre inside the old hall. The awning was added at this time and the work completed in 1924,
Since 1839, throughout the various changes to the structure of the building, the Athenaeum has remained a not-for-profit institution.