The first building bearing the name, a music hall formed from roofing the yard of the Black Horse Inn, was built in 1859 for Emil Loibl, and Charles Sonnhammer.

A gallery was constructed for the hall but it could not utilize the full width, because one part of the premises was used by Dr. Kahn's "Delectable Museum of Anatomy".

The highest efforts of the architect, the designer and the decorator were enlisted in their service, and the gaudy and tawdry music hall of the past gave way to the resplendent 'theatre of varieties' of the present day, with its classic exterior of marble and freestone, its lavishly appointed auditorium and its elegant and luxurious foyers and promenades brilliantly illuminated by myriad electric lightsThe success of the venture led its owner, Villiers, to form a limited company; this became the first combine of music halls, Syndicate Halls Ltd. Lupino Lane made his London début here in 1903, as "Nipper Lane".

A wax figure exhibition opened in the building that same year, run by the Madame Tussauds Group, called Rock Circus.

The London Pavilion housed Ripley's Believe It or Not!, a visitor attraction dedicated to the weird and unusual, which was open from August 2008 until 25 September 2017.