Originally known as the New Theatre, The Albery was built by Sir Charles and Mary Wyndham and opened on 12 March 1903.

In 1915 Dion Boucicault presented a Christmas revival of J M Barrie's Peter Pan, which, due to its popularity was repeated every year until 1919.  The theatre has also staged a number of successful productions by other distinguished writers including Somerset Maugham, A A Milne, Noël Coward, Bernard Shaw, Dylan Thomas, T S Eliot and Tennessee Williams. The sixties were dominated by Lionel Bart's Oliver! which ran for 2618 performances.

A host of famous names have appeared on-stage at the theatre including Sir John Gielgud, Sybil Thorndike, Sir Laurence Olivier, Peggy Ashcroft and many more.

In 1973 the New Theatre was renamed the Albery in tribute to the late Sir Bronson Albery who had presided over its fortunes for many years.

The Albery has seen productions as diverse as Somerset Maugham's The Constant Wife, Children of a Lesser God by Mark Medoff, Tom Stoppard's Travesties and Willy Russell’s Blood Brothers.