The gymnasium was founded by spouses A. S. and A. D. Alfyorov. The idea of creating an educational institution was discussed by A. S. Alfyorova with A. I. Chuprov, and the gymnasium was officially established in 1896. Initially, a rented apartment in S. M. Frolova's house on Plyushchikha was used, but the official address was A. N. Avdeeva's apartment on Krivoarbatsky Lane. By 1902, the gymnasium had 230 students and became a full-fledged eight-grade gymnasium of the Ministry of Education, providing education at the level of male gymnasiums.

In 1904, a plot of land was acquired for the construction of a new gymnasium building on Mukhina Hill, near the Church of the Annunciation. Funds for the construction were raised thanks to benefactors, including S. A. Muromtsev. K. T. Soldatenkov bequeathed textbooks and books to the gymnasium. The building project was developed by I. A. Ivanov-Shits, and it was completed in 1906 on Bolshoy Blagoveshchensky Lane. The building also included an apartment for the director and his family. Alexandra Samsonovna, who suffered from a heart condition, received a lift for convenience. Once, the lift got stuck, and she conducted a math lesson through the lift's grate.

Tuition at the gymnasium was paid, but in each class, 2-3 students studied for free, and their names were not disclosed. Social inequality was not felt, and the gymnasium students were distinguished by their inner upbringing and nobility. One student recalled that cheating and dishonesty were not tolerated at the gymnasium. The gymnasium was popular among the Moscow intelligentsia, and among its students were daughters of famous families, such as the Golitsyns and Shalyapins.

The founders of the gymnasium, whom the students called "Shurki," had different approaches to teaching. Alexandra Samsonovna, a strict math teacher, commanded respect and love. Alexander Danilovich, who taught Russian language and literature, inspired students with his passion for the subject. The workday began with reading a chapter from the Gospel.

The gymnasium had a theater under the direction of A. D. Alfyorov, and some graduates became actresses at the Maly Theater. The students published a newspaper and created the "Society for Improvement." In the summer, they traveled with teachers to various cities.

Some contemporaries believed that the gymnasium excessively adhered to rules of decency. "Dangerous places" were removed from performances, and young men were prohibited from attending events. Marina Tsvetaeva studied at the gymnasium but soon transferred to another institution due to the strict rules.

From the fall of 1914, a hospital for the wounded was opened with the funds of the gymnasium students. In 1916, the "Society of Former Students" was established, and in the spring of 1917, the gymnasium joined the "Moscow Organization of Students."

The last graduating class of the gymnasium was in 1918, and by 1919 it became School No. 75. In the summer of that year, a labor colony for students was organized in the village of Lipki, where A. D. and A. S. Alfyorov were arrested and executed. The school later changed its number to No. 11, and after the war became No. 31, preserving the Alfyorov spirit. Today, the Khamovniki Court is located in the gymnasium building.