Built as the Loew's and United Artists' Penn Theatre, construction of the building started on January 6, 1926[2] and was completed in 1927 on the site of the former "Hotel Anderson".

The Grand Lobby was particularly impressive, with its 50-foot (15 m)-high vaulted Venetian ceiling, massive ornamental columns, marble staircase, bronze and crystal chandeliers and silk drapes.

Ornamental elements in the auditorium were replaced by acoustical baffles to convert the former movie theater into a lively sounding concert hall.

[4] In 1995, Heinz Hall underwent a further four-month, $6.5-million renovation, including a new orchestra shell, acoustical risers, new butterfly sound reflector, heating and air conditioning improvements, fresh paint, wallpaper and gold leaf and auditorium seats refurbishment.

[4] Heinz Hall almost never existed because plans were being made for an entire $40 million cultural complex in the Upper Hill District, above the Civic Arena.

The Heinz family would also fund the multimillion-dollar renovation for the performing arts center that would house all local production companies.

Henry John Heinz was an active contributor and a major force in the development of downtown Pittsburgh, particularly the Cultural District.

Called a "generic philanthropist" by a friend, H. J. Heinz donated to the arts, healthcare, education, historic preservation, and was an active contributor all over the city.

Although much of the grandeur of the Loew's Penn still remains, the decor of the remodeled Heinz Hall is comparatively simple while retaining the elegant lines of the original theater.

However, the premiere boxes of the Grand Tier (the deluxe mezzanine "loge" seating of the Loew's Penn) are acoustically poor for concert performances due to their position deep underneath the overhang of the balcony.

Heinz Hall was a great improvement for the Pittsburgh Symphony over its previous home, the Syria Mosque, which was visually and acoustically drab.

Among the celebrities in town for the event were Charlton Heston, James Earl Jones, Agnes de Mille, and Gregory Peck.

[9] In 2010 sidewalk and entrance ways were improved and in the summer of 2011 the roof and moorings will be refurbished as part of an ongoing $20 million effort to renovate Heinz Hall.

In between the orchestra's many performances, Heinz Hall also hosts Broadway tours, speaker's series and is a great place for a special event.

The hall played host to the politically motivated Vote for Change Tour on October 1, 2004, featuring performances by James Taylor and The Dixie Chicks.

Most recently, Mayor Luke Ravenstahl and the Steelers’ Max Starks "competed" in the Broadway musical, The 25th Annual Putnam County Spelling Bee.

On September 25, 2021, Heinz Hall reopened for the first time after the COVID-19 pandemic, celebrating its 50th anniversary with performance by the Pittsburgh Symphony Orchestra.