The orchestra traces its roots to the Philharmonic Society founded in 1847 and the Christiania Musical Association co-founded by Edvard Grieg in 1871, and was established in its current form in 1919.

During the First World War, the desire for symphonic music grew, along with inflation, leading to a dispute between the orchestra and the Nationaltheatret and a temporary collapse of the Musikerforening's concerts.

Filharmonisk Selskaps Orkester's first concert took place in Logen (Store Sal) on 27 September 1919, with 59 musicians on stage and with Georg Schnéevoigt as conductor.

On the repertoire was Rikard Nordraak's Ja, vi elsker dette landet, Johan Svendsen's Fest polonaise, Christian Sinding's Symphony No.

Among the guest musicians of this first season were the conductor Arthur Nikisch, the pianists Eugen d'Albert, Edwin Fischer, Wilhelm Kempff, Ignaz Friedman and Artur Schnabel, and the violinists Bronisław Huberman and Carl Flesch.

In spite of this, the orchestra continued to attract notable musicians and conductors, such as Richard Burgin, who later became concertmaster for Serge Koussevitzky in Boston; Max Rostal; Ernst Glaser; Robert Soetens, for whom Sergei Prokofiev's 2nd Violin Concerto was written; and others who were driven out of Germany by the Nazi regime – Igor Stravinsky, Fritz Busch, Erich Kleiber, and Bruno Walter.

Issay Dobrowen joined the orchestra in 1927; when he left in 1931, the position of chief conductor was divided between two Norwegians: Odd Grüner Hegge and Olav Kielland.

Although the orchestra has maintained high standards of quality since its inception and under various renowned musical directors, many consider that it saw its largest leap forward during the tenure of Mariss Jansons from 1979 to 2002.

The orchestra has won various recording prizes, including the Grand Prix du Disque, Diapason d'Or, and the German Classical Music Award.