TSW Pegasus was established in June 2008, and they had their first season in 2008–09 Hong Kong First Division League with a budget of about HKD$100,000,000.

[1] On 21 December 2008, Pegasus won their first trophy, defeating Sun Hei in the 2008 Senior Shield Final.

[3] After spending 13 years in top flight, Pegasus confirmed their withdrawal from the 2021–22 HKPL season and decided to self-relegate to the Hong Kong Third Division.

TSW Pegasus applied to the Hong Kong Football Association for the use of Yuen Long Stadium and Tin Shui Wai Sports Ground for its home matches.

[5] Later, the HKFA accepted the application of having the Yuen Long Stadium as TSW Pegasus's home ground for the game against South China on 5 October 2008.

HKFA chairman Leung Hung Tak later claimed that a total of three home games for TSW Pegasus will be played at Yuen Long Stadium in the 2008–09 season.

[7] It played a friendly game against South China in the afternoon and the teams drew 1–1, TSW Pegasus lost (3–5) on penalties.