The money for its purchase was bequeathed to the town of Kilmarnock by former native insurance broker Alexander Kay who died in Glasgow in January 1866.
The location of the park was determined by the town council and the Kay Trustees after various proposed sites were examined and the land was purchased from the Duke of Portland.
The park opened on 9 August 1879 with great pomp and circumstance.
The Burns Monument was badly damaged by fire in November 2004, however it was later redeveloped to provide a marriage suite, registration service and local history research service.
The Kilmarnock-Dumfries railway line passes the park, near the top entrance to the park near the new Burns Monument Centre, there is a Corinthian column, erected in memory of a group of Parliamentary reformers who protested here in 1816.