The private Society was founded in 1866 by Francisco Asenjo Barbieri and Joaquín Gaztambide, who assumed responsibility for its organization and artistic direction.
It was the heir of the orchestra formed by the Sociedad Artístico Musical de Socorros Mutuos which was based at the Teatro Real in Madrid.
In 1876, the conductorship passed to Mariano Vázquez Gómez, under whose guidance the Orchestra offered Spanish audiences the chance to hear the complete cycle of Beethoven's symphonies in their homeland for the first time.
On 27 February 1898, the Orchestra gave a performance Richard Strauss' symphonic poem Don Quixote at the Teatro Príncipe Alfonso on the Paseo de Recoletos, which was conducted by the composer himself.
The majority of its members regrouped to form the Orquesta Sinfónica de Madrid, which has continued to play to the present day.