The birth of Pallacanestro Olimpia Milano is traditionally dated 1936, year of the first Italian League Championship title won by the team.

The team regularly won the Italian League Championship in the 1950s and the 1960s, with players including Gabriele Vianello, Sandro Riminucci, Gianfranco Pieri, and Bill Bradley.

Bepi Stefanel purchased the team franchise in 1994, and signed-up notable European players like Dejan Bodiroga, Gregor Fučka, Sandro De Pol, and Nando Gentile.

Piero Bucchi was chosen to coach the new team, leading Olimpia twice to second place in LEGA Basket, being defeated by Montepaschi Siena in both cases.

In January 2011, after 23 years away from coaching, Dan Peterson came back from retirement at the request of team owner Giorgio Armani to replace Piero Bucchi, who was fired in mid-season.

Owing to the NBA lockout, Danilo Gallinari went back to his alma mater, playing 15 games (8 in the Italian League, 7 in EuroLeague): he left the team in December.

Sergio Scariolo was replaced by Luca Banchi at the beginning of the 2013–14 season, and the team brought from Montepaschi Siena: David Moss, Kristjan Kangur, and Daniel Hackett.

The team finished in the 1st position the LEGA Basket regular season, and in the 7th game of the playoff's finals, Olimpia won its 26th Italian League championship title, its first after 18 years.

[7] On June 11, 2019, legend Ettore Messina signed a deal as the new head coach of the club and president of all basketball operations for the following three seasons.

In 1960, the Palazzo dello Sport della Fiera was abandoned, and Olimpia moved into the original structure of the PalaLido, which then had a smaller seating capacity of 3,500, but because of lack of security measures at the time, often was filled with up to 10,000 people.

In 1985, the roof of the Palasport di San Siro collapsed and Olimpia returned to PalaLido for a season, waiting for the construction of a provisional arena.

Recently, the club considered moving back to the newly rebuilt and modernized PalaLido (named Allianz Cloud), after it was remodeled, and had its seating capacity expanded.

However, the club ultimately decided to continue using the Mediolanum Forum as its home arena, due to its much larger seating capacity, as compared to the new Allianz Cloud.