The Apollo was built in 1920 by the Selwyn Brothers in tandem with the Times Square Theatre, and both share a unified facade on West 42nd Street.

As with many other legitimate playhouses of the 1920s, movies were also screened; in 1922, for example, Silver Wings, Around the World With Burton Holmes, and two D. W. Griffith films, Orphans of the Storm and One Exciting Night, had engagements.

Max Wilner and Emmett Callahan (who was married to star strip teaser Ann Corio), along with producer Allen Gilbert, presented "Glorified Burlesque," which was more refined than their neighbors.

Abbott and Costello, Joey Faye, Ann Corio, Gypsy Rose Lee, Georgia Sothern, Mike Sachs, and Steve Mills appeared in burlesque shows at the theater.

But after a unified outcry against burlesque by religious, business, and real estate interests in the late 1930s, the Apollo and the other theaters on 42nd Street became film venues.