It was commissioned by the Sociedad Anónima General de Espectáculos (SAGE) and built by architect Secundino Zuazo Ugalde in 1926.

[1] The building was designed and built during the construction process of Gran Vía, on a surface area of just over one thousand square meters.

It was initially designed as a concert hall, and by 1928 it began to be used as a movie theater.

Initially it was thought to name it as Sala Olimpia, later as Musical Cinema and finally as Palacio de la Música.

During its construction, the night of December 4, 1925 part of the roof collapsed.