Originally built by William Vanderbilt as the American Horse Exchange. It was purchased by the Shuberts and refitted as a theatre.
Opened as the Winter Garden Theatre on March 20, 1911. Shortly thereafter, it was fitted as a cinema but in 1913 it returned to live theatre.
In 2002, the Shubert Organization (which owns the theatre) entered into an agreement with General Motors and renamed the theatre the Cadillac Winter Palace. The sponsorship agreement ended in 2007 and the theatre reverted to its original name.