It was established by the Resident Governor of the erstwhile Presidency, to educate the children of the royalty, nobility and aristocracy of Central Indian Princely States of the 'Marathas', 'Rajputs', 'Mohameddans' and 'Bundelas'.

In 2007, the first International Round Square Conference was held at Daly College, and was attended by former King Constantine II of Greece[2] as its president.

The Daly College also has an undergraduate management school — the Daly College of Business Management (DCBM) which is affiliated to Devi Ahilya Vishwavidyalaya [13](informally abbreviated DAVV, formerly University of Indore), and provides a Bachelor of Business Administration degree in different disciplines.

The main building was constructed with marble from the Udaipur quarries and was designed in the Indo-Saracenic architecture by Col. Sir Samuel Swinton Jacob.

The clock tower was donated by Maharaja Sir Sayaji Rao III Gaekwad of Baroda.

For the next 28 years the college was open exclusively to the sons of the Princes and Chiefs of Central India as well as the rest in the Indian Empire.

1st Quarter – 'Tenne' is the nearest Heraldic colour to 'Bhagwa', the colour of Maratha standard and of Saivite devotee: the wings and flame represent the Pawars (Puars of Dewas Junior, Dewas Senior & Dhar), who derived descent from the Parmars, the worldwide Sovereignty of clan being proverbial (Wings), while they were also Aganikulas (Flame), the play of 6 argent and gules gives the well known Holkar banner, while the horse of Khandoba is their emblem, the chief azure is for Scindia, and the cobra is the mark of the house.

2nd Quarter – A Barry of fives is the Pachranga of the Rajputs: the sun representing the Suryavanshis and the moon the Chandravanshis, the flame the Agnivanshis.

3rd Quarter – Green is the Mohammedan colour and the crescent their badge: the tower represents Bhopal and its fort of Fatehgarh, the spear and 'talwar' the Pindari element, and the fish, the Mani Martib- the sacred emblem.

4th Quarter – Purpure or murrey is given to all Bundela Arms, the Chevron 'gutty de sang' refers to the traditional origin from 'bund' a drop, the fort on a hill to the famous Ath-kot of Bundelkhand, and to the Vindhyas whence also (Vyandhyelkhand) they derive their name: Devi Vindhyvasini of Mirzapur is the Tutelary goddess of the clan.