The tournament was founded in 2000, but its origins lie in Dunhill's sponsorship of the South African PGA Championship between 1995 and 1999.

The first event was held in January 2000 at the Houghton Golf Club in Johannesburg, and replaced the South African PGA Championship on the European Tour calendar.

Following this change, the Alfred Dunhill Championship has formed part of the following year's European Tour season.

In addition, the event was moved to the Leopard Creek Country Club, just south of the Kruger National Park in Malalane, Mpumalanga.

[1] In 2016, the Alfred Dunhill Championship replaced the South African Open as the tour's flagship event by the Official World Golf Ranking governing board.