Originally called the 'Imperial Delhi Gymkhana Club', it was founded on July 3, 1913, at Coronation Grounds, Delhi, and its first president was Spencer Harcourt Butler, first governor of the then United Provinces of Agra and Oudh.
The club is located in the heart of Lutyens' Delhi on Safdarjung Road, occupying of land as per the site plan made on the drawing board by Sir Edwin Lutyens as part of his grand design for Imperial Celebrations.