In spite of the Cairasco Teatro being in existence since 1845, now the location of the present day Gabinete Literario (Literary Cabinet), it was clear to the city of Las Palmas by the middle of the 19th century that the construction of a new theatre was necessary. The main reasons for such a proposal were undeniable faults in the construction of the theatre, an increase in population and interest as well as it being the wish of the ruling class. The city of Las Palmas requested a more ambitious theatral building which was in accordance with the requirements of the society of that period

With this aim in mind, a private joint stock company was founded in 1866 which dealt with problems such as economic matters, the site of the future construction of the building and choosing the architect to take charge of the project. The first matter was taken care of by contributions from people and organisations of great economic power, as well as the unselfish collaboration of the remainder of society, by both the wealthy and the humble citizens.

The decision to locate the new theatre turned out to be more problematic, given that no location could be found which fulfilled all the necessary requirements. Finally the Boca-Barranco or the Pescadería (Fishmonger's) was suggested, which met the three main conditions: it was centrally situated, the shape and dimensions were suitable, and the location had easy access and visibility. However its juxtaposition to the sea, to the mouth of the ravine and the fishmonger's caused controversy amongst the citizens. 

After several formalities and with a certain degree of apprehension by the locals, the architect Francisco Jareño y Alarcon (1818 – 1892), born in Albacete and resident in Madrid, was commissioned to take charge of the works of art for the project. This was to be approved on May 22nd, 1868.

In 1888 and before the impending visit of the famous Italian tenor Roberto Stagno, passing through Gran Canaria on tour with his company on his way to America, the construction works were speeded up so that a recital could be accommodated and funds be raised. However an unfortunate accident occurred in Puerto de La Luz between a French and an Italian tanker causing fifty-five fatalities, precipitating the Tenor's decision and subsequently the decision of the board of directors to donate all the raised funds to the victims of the tragedy. Thus two years later, in 1890, the solemn inauguration of the Tirso de Molina Theatre takes place with La Traviata, causing the promoters to go bankrupt and culminating in the municipal incumbency of the theatre from 1913.

11 years later on the occasion of the grand success of the première of Electra by Benito Pérez Galdós in 1901, during a solemn tribute a proposal was made to name the new theatre after the writer.

On the night of the 28th of June 1918, a large fire destroyed the theatre's wooden structure almost completely. Miguel Martín Fernández de la Torre completed the rebuilding works between 1925 and 1928.

Miguel Martín asked his brother Néstor, artist and painter, for help to decorate the interior of the building. The job was to do the paintings of the Saint-Saëns Hall, the ceiling over the stalls, the stage and to design the stained glass windows and the curtain. After the building works were completed, the theatre organised a lavish re-opening ceremony on the 28th of May 1928 with the premiere of Aida, a four-act opera by Verdi.

The building was listed as a Monument (BIC, from the Spanish) by the Canary Island Government in 1994.

The restoration and development of the Theatre began in 2004, both of the historical building (public area) as well as of the new extension (area for the artists and administration), including the whole scenario from the stage mouth, premises, annexes and other installations.These building works managed to combine the romanticism of the 19th century construction with the advanced theatre technology of the 21st century, thus making it one of the most complete theatres in the country.

The Teatro Pérez Galdós Theatre re-opened on the 14th of April 2007 with a concert given by the Philharmonic Orchestra of Gran Canaria, directed by its tenured conductor, Pedro Halffter, performing Ludwig van Beethoven's 9th Symphony. The performance was broadcast on giant screens for the audience that congregated outside of the theatre. Moreover, to celebrate the re-opening, the Theatre programmed a whole week of performances of all kinds. There were performances by the Mariinsky Theatre Orchestra of Saint Petersburg and Wagner's opera The Ring of the Nibelungs. The premier of The Ring of the Nibelungs (Ring Cycle)was the perfect vehicle to showcase the new technical and scenic capacities of the Pérez Galdós Theatre, as the first theatre in Spain to put on the entire work in just one week.