Founded on December 12, 1863, the Danish Club is the oldest foreign club in London and the oldest Danish Club outside Denmark. Its patron is HM Queen Margrethe II of Denmark who has visited the Club on several occasions, most recently in 2000. 

Among the other many prominent Danes who have visited the Club over the years are the writer Hans Christian Andersen (one of his letters hangs in the Danish library), the poet Holger Drachman, the literary critic Georg Brandes, the opera singer Lauritz Melchior, the scientist Niels Bohr, King Christian X and Queen Alexandrine, Prime Minister Clement Attlee of Great Britain King Haakon of Norway, King Frederik IX and Queen Ingrid, and Princess Benedikte, sister of Queen Margrethe. Many Danish Prime Ministers have also dined at the Club. 

The Club's first members originally met at the Morland Hotel in Soho. In 1918, however, the Club secured its own premises in Albany Courtyard but moved to 62 Knightsbridge in 1922 where it remained until 1998. In 1999, the Club established its home at 40 Dover Street.