In the late 19th century, Astrakhan entrepreneur Konstantin Alexandrovich Polyakovich decided to create a summer theatre in the garden on the Christmas Hill. Architect A.S. Malakhovsky enthusiastically took on the project, and the best carvers from the Vyatka province crafted ornate decorations. The theatre opened in April 1899. The park, named "Arcadia" or "Happy Land," became a popular leisure spot for Astrakhan residents, and famous artists such as Shalyapin, Sobinov, Kozlovsky, and others performed in its splendid theatre. Maria Maksakova began her career here. On November 13, 1976, the theatre burned down.

On the site of the burned building, a Summer Touring Theatre was built. Subsequently, the fate of the theatre changed: a creative association called "Musical Theatre" emerged based on the philharmonic and the opera studio of the conservatory, inspired by director Larisa Khimich. The team began collaborating with conductor Igor Smetanin. Premieres of performances such as "The Barber of Seville," "Carmen," and others became significant events in the cultural life of the city. On November 2, 1995, a document was signed to establish the Astrakhan State Musical Theatre, which was given the building of the Summer Touring Theatre. In memory of the famous actors, the theatre chose the image of the old wooden theatre of Polyakovich as its emblem.

In 2000, Mikhail Astanin became the head of the theatre. In 2002, collaboration with the Bolshoi Theatre of Russia began, allowing for the staging of complex operas from the world repertoire. For the first time, Astrakhan residents were presented with operas in Italian. The conductors for the productions were conductors from the Bolshoi Theatre, and its directors carried out the productions. In 2003, the XX International Glinka Vocal Competition took place in Astrakhan with the participation of the AGM Theatre Symphony Orchestra under the direction of Pavel Klinichev. From 2004 to 2010, Vladimir Andropov was the artistic director of the theatre.

The new building of the Astrakhan Musical Theatre was conceived as a multifunctional cultural and entertainment complex in the neo-Russian style, reflecting the traditions of Russian architecture at the turn of the 19th and 20th centuries. Construction began in 2006 based on the project of Moscow architect Alexei Mikhailovich Denisov. The media describes the style of the building as merchant, characteristic of Astrakhan. A park previously occupied the site of the theatre. The completion of construction was planned for 2012.

The first unofficial concert in the new building took place on November 2, 2010, featuring Vincenzo Bellini's opera "Norma" for the theatre's builders.