Jessie Waddell and some of her West Indian friends started the Carnival in Harlem in Upper Manhattan, New York City, in the 1930s by staging costume parties in large, enclosed places such as the Savoy, Renaissance and Audubon Ballrooms due to the cold wintry weather of February.

They sold advertisement space and boosters, that were printed in a Souvenir Journal for West Indies Day, a booklet which is a memento of that first parade.

Jessie Waddell Compton is presented in the journal as the person "whose inspiration and enterprise" was owed to the formation of this committee.

Five years later, a committee headed by Carlos Lezama, which eventually became the West Indian-American Day Carnival Association, obtained approval for the parade to be established on Eastern Parkway in Brooklyn, where it remains today.

Those steel bands were eventually replaced by powerful, truck-mounted sound systems that played a variety of Caribbean musics including calypso, soca (soul/calypso), reggae, and compas.

There are also popular Haitian bands with their powerful meringue-compas music on the parkway, such as T-Vice, Tabou Combo, Konpa Kreyol/Kreyol La, Sweet Micky, Phantoms, Carimi, Djakout, D.P.

[19] Additionally during the 2011 West Indian Day Parade in Brooklyn, New York City councilman Jumaane Williams along with a few others were arrested for walking along a closed-off sidewalk, after stating he had received permission to do so from other officers.

[22] On September 7, 2015, a pre-parade J'ouvert celebration was marred by violence when, at 3:41 a.m., gunfire hit lawyer Carey Gabay in the head.

Gabay was an aide to New York Governor Andrew Cuomo and first deputy counsel at Empire State Development Corporation.

The attacks occurred despite the NYPD doubling the number of officers patrolling the neighborhood, installing 42 new security cameras and erecting 200 light towers.

[27][28] On September 2, 2024, a mass shooting occurred when a lone gunman jumped onto a street divider and fired into the crowd, striking five people of the parade spectators.