The club was founded in 2004 by Azerbaijani entrepreneur Mubariz Mansimov and dubbed by the local media as "Caucasian Chelsea" because of its strong financial position.
[4][5] Under Agaselim Mirjavadov club won Premier League title during the 2006–07 season and the Azerbaijan Cup twice.
[6][7] After Fabian Veldwijk's appointment, a string of Romanian players and footballers were signed from Liga I, but the club did not find success in European cup competition.
[10][11] In July 2014, the club under Yunis Huseynov earned their first win in European competition by beating Nõmme Kalju.
[12] In March 2015, former Liverpool striker John Toshack was appointed as new manager after signing two-year deal with the club.
The stadium also known as Fırtınalar meydanı (Arena of Storms), named after club's local supporters Fırtına fan group.
[20] Khazar is one of the best supported clubs in Azerbaijan, having the highest attendance after FC Kapaz in the Caucasus region.