The club is situated close to the city center, in the east side of town, on the former farmland of Hlíðarendi.
The club was originally formed as part of the local YMCA to play association football, but later incorporated handball and basketball.
In 2019, Valur women's teams won the national championships in basketball, football, and handball, the first time that one club held all three major titles.
In 1939 Valur bought the farmland of Hlíðarendi which retains its name even today, where they now have a football field and an indoor arena.
Originally Valur played only football, but around 1940 the club got involved in more sports, starting with men's handball.
In April 2019, the team won its first ever national championship when it beat Keflavík in the Úrvalsdeild finals 3–0.