It is based in Ulaanbaatar[5] and was established in January 1991 by the decree of the Mongolian Government to privatize state-owned assets.

The Mongolian Stock Exchange was established in 1991 as a vehicle to implement the government's plan for privatisation of large state-owned enterprises.

In an attempt to ensure an equitable distribution of assets, the Mongolian government chose to instantiate a voucher-based scheme; one blue voucher worth MNT7,000 was issued to every citizen born before 31 May 1991 for the purchase of shares in large enterprises, and a nationwide network of 29 brokerage houses was established to take their orders.

[12] Initially, stock exchange officials hoped to privatise 80% of state assets, but, on 7 June 1991, Government Resolution No.

170 announced that the state would retain a stake of 50% in some large enterprises; mining, energy, transportation, communications, and water supply companies were excluded from the privatisation scheme entirely.

Auctions continued to be held weekly; regional brokers collected vouchers and share orders from individuals, and submitted bids through their floor traders in Ulaanbaatar.

Trading hours were restricted to two hours on one day per week, expanding to two five-hour days per week in July; the thirty exchange officials used the remainder of their working time to prepare infrastructure and legal recommendations for trading in the secondary market.

[16] Family members were permitted to transfer their vouchers to each other, so not everyone became a stockholder, but the peak number of shareholders was estimated at one million, or 43% of the population at the time.

Furthermore, many small shareholders sold their shares, allowing a few domestic and foreign investors to gain majority holdings in the remaining listed companies.

[18] By that same year, the stock market had recovered somewhat as well, but retail investors remained suspicious of trading due to volatility and lack of transparency; MSE officials estimated that 80% of listed companies were majority-owned by private individuals.

Following the law's passage, MNT500.0 million worth of corporate debt securities were publicly offered through the Mongolian Stock Exchange between 2013 and 2015.

[28] On 13 October 2015, Mongolian Stock Exchange became a self-regulatory organization in accordance with the meeting of the Financial Regulatory Commission.

This resulted in a surge of demand for tax-free, high-interest government bonds and increased interest in the domestic capital market among retail investors.

However, as part of the IMF program, LCY government bond issuance was temporarily halted by the MOF in October 2017.

On 29 June 2017, the largest ever publicly offered corporate debt instrument (MNT6.0 billion) was issued by “Suu” Joint Stock Company.

These achievements led to support Mongolian Stock Exchange continuously breaking the record of secondary market turnover.

Asset backed securities, issued by “Invescore Active SPC” LLC were listed on the MSE, has become the first ABS to be offered publicly in Mongolian capital market.

The Law on Mining Products Exchange was approved by the Parliament of Mongolia and is effective June 30, 2023, to organize the open, transparent, and fair trading of mining products, to create opportunities for real market prices to be established, and to increase the industry's contribution to the country's economic growth.

Until the enforcement day of the law on mining products exchange, the government has been instructed to conduct coal trading through the Mongolian Stock Exchange according to the "Rules on Electronic Trading of Export Coal " which was approved by the Government of Mongolia on 14 December 2022.

[31] Due to the color of its building, the Financial Times correspondent, Leslie Hook, defined it the pink house of equities.