In 1806, the Prince of Wales (later George IV) gave assent for the theatre to be built and it opened on 27 June 1807. The theatre struggled until it was purchased in 1854 by actor Henry John Nye Chart, who engaged theatre architect Charles J. Phipps to begin a programme of expansion and redevelopment.

The theatre improved its reputation and finances, becoming a respected venue. In 1920, the financial buoyancy of the Theatre enabled the directors to buy adjacent properties and make substantial improvements to the building. In 1923 the Theatre purchased the Colonnade Hotel, now the Colonnade bar and in 1927, the last major structural enlargement was made to the auditorium.

On 20 August 1971 it became a Grade II* listed building, listed as "The Theatre Royal and the Colonnade Public House (Number 10) and Attached Colonnade and Stage Entrance to the Theatre Royal". I have no idea why they have been allowed to paint the stone collonade in a faux terracotta red.