The Club was formed in March 1972 by the amalgamation of the United University Club and the Oxford and Cambridge University Club. For the first year of its life the Club was housed at 1 Suffolk Street, and thereafter at 71 and 77 Pall Mall. At the time of its creation the Club had 2,897 members and 563 lady associates.

The United University Club was founded in 1821, the result of a meeting held at the Thatched House Tavern on 30 June of that year. The first Annual General Meeting took place at Willis's Rooms on 27 April 1822, under the chairmanship of the Duke of Gloucester. The original membership was 1,000, at which it remained for more than a hundred years. However, within a few years of its foundation the waiting list had become so long that steps were taken to form a second university club.

The foundation of the Oxford and Cambridge University Club dates from a meeting of Members of the two Universities held at the British Coffee House, 27 Cockspur Street on 17 May 1830, with Lord Palmerston in the chair. The meeting resolved that a Club consisting of Members of the two Universities should be formed “for the association of gentlemen educated at those Universities, and for promoting and continuing a mutual interest and fellowship between them”. The original membership was limited to 600, but this was increased to 1000 in 1838.

A third club composed of Members of the two Universities, called the New University Club, was established in 1864 at 57 St.James's Street. In 1938 this Club amalgamated with the United University Club.

The Pall Mall Club house was originally designed for the Oxford and Cambridge University Club in 1836 by the architect Sir Robert Smirke. In 1907 (Sir) Reginald Blomfield lined the walls of the staircase with yellow marble from Scyros. In 1952 a Crown lease was taken of the neighbouring house, 77 Pall Mall, to accommodate lady associates. Substantial alterations to the interior of the Club house were carried out following the 1972 amalgamation and the surrender of the lease of the Suffolk Street premises.

Since 1972 the Club has consistently allocated sufficient funds for the normal maintenance of the fabric of the building and has been putting further substantial sums aside each year into a maintenance reserve to assure the long-term future of the Club in its present premises.

In 1989 the lease for the whole Club house was extended to 2087 and during 1996 major refurbishment and improvement works were carried out on all the bedrooms.

In February 1996 the members of the Club voted overwhelmingly to admit women to full membership (with unhindered access to all areas of the Club) and in 1997 H.M. Queen Margrethe II of Denmark became the Club's first Honorary Lady Member.

At the Annual General Meeting in 2001 the Club's name was shortened to the 'Oxford and Cambridge Club' in recognition of existing practice. The Club now has over 3,500 members, spread throughout the world.