The first idea of building an arcade to connect the Corso Vittorio Emmanuele II to the Piazza Cesare Beccaria dates back to before World War I; the initial objective was to create—like other arcades conceived at the time—a covered connection between the street and the square, with a central octagon and a curved branch in the direction of Via Cesare Beccaria.

The west side was built by Ugo Patetta and Livio Cossutti beginning in 1928 to plans which contained alterations to the original project.

[2] By modifying the façade on the street and the recovering space from the Salone Concerto Varietà San Martino, the two architects added the Excelsior Theater.

The construction of the portion on Via Cesare Beccaria was carried out by the Hungarian architect of Italian origin Eugenio Faludi,[5] also the designer of some pavilions of the Milan Trade Fair (SNIA Viscosa and Italviscosa), [6] while Pier Giulio Magistretti was responsible for the construction of the facades facing the Piazza Cesare Beccaria, on which stood the Cinema San Carlo, designed by Mario Ridolfi and later renamed the Cinema Ambasciatori.

Although it was initially criticized for its appearance, which was considered squat and clumsy, the Galleria del Corso soon acquired notoriety as a popular place, famous both for afternoon and daytime strolls, and for catering and evening entertainment.