The Montreal Festivals was founded in 1936 by Madame Athanase David, her husband, the Honourable Louis-Athanase David, and conductor Wilfrid Pelletier as the Festival de musique de Montreal.
The MSO opened the first festival on 15 June 1936 with a performance of Johann Sebastian Bach's St Matthew Passion and Ludwig van Beethoven's Symphony No. 9 in the chapel of St-Laurent College.