The building of the Bolshoi Stone Theatre was located on the site of Brumberg Square, known today as Theatre Square, which existed in the mid-18th century. This place was named after the owner of the local sawmills. In 1765, by the decree of Catherine II, carousels, swings, and an amphitheater were built here for performances held twice a week. Volunteers from among craftsmen, apprentices, and shopkeepers participated, while the police monitored the repertoire and paid the performers fifty kopecks for their acts.

On June 9, 1773, a decree was issued to create a "public Russian comedic spectacle" in St. Petersburg at the site of the carousel, for which it was decided to build a theatre. The project was developed by architect Antonio Rinaldi. Construction began in 1775 under the supervision of M. A. Dedenyev, who reported to Catherine II on January 31, 1777, about the work done: a grillage was laid on the piles driven in 1775, and to prevent flooding, the site was reinforced with slabs.

By 1779, the walls of the theatre were completed, but Rinaldi was injured in a fall from scaffolding and could not continue his work. In 1781, he was replaced by F. V. Bauer. The building was significantly larger and bulkier than the neighboring structures, measuring 85 meters in length, 45 meters in width, and 19 meters in height. The theatre became a model of theatrical architecture of the late 18th century.

The decorative work in the theatre was carried out by L. Tishbein. By 1783, the equipment was being set up, the interiors were being finished, and the territory was being landscaped, after which the theatre opened. The auditorium could accommodate up to 3,000 people and had an elliptical shape with three rows of seats in the stalls, 12 rows of benches, a dress circle, and three tiers of boxes. In the center of the amphitheater was the imperial box.

Performances at the theatre took place three times a week: one day featured an Italian troupe, the second a French one, and the third a Russian one, each concluding with a ballet. In August 1785, dancers Charles Lepik and Gertrude Rossi arrived at the theatre, along with their son Carlo Rossi, who would become a famous architect.

In 1802, it was decided to give the theatre a more majestic appearance, and this task was entrusted to architect Thomas de Thomon. He completely rebuilt the building, adding a massive eight-column portico with Ionic columns and a sculptural composition "Apollo Kitharist surrounded by Muses" by Jacques Thibault. The portico became a recognizable element of the theatre.

Thomas de Thomon was appointed the chief inspector of the theatre and was responsible for its repairs. In 1810, he planned the restoration of the chandelier and proposed to remodel the stoves, which ultimately was not done. On the night of January 1, 1811, the theatre was completely burned down, despite the participation of about 1,000 people in the firefighting efforts.

By the end of January 1818, the theatre building was restored by architects A. K. Modyui and I. I. Galberg with the participation of Domenico and Antonio Adamini. The theatre retained the appearance created by Thomas de Thomon and remained popular among St. Petersburg residents. It hosted the premieres of Glinka's operas and the debut of Marius Petipa. In 1890, the theatre burned down again, and Alexander III ordered its reconstruction.

At the initiative of Anton Grigoryevich Rubinstein, the building was transferred to the St. Petersburg Conservatory after reconstruction. From 1891 to 1896, the building was completely rebuilt, preserving the foundation and walls but with new interiors.