The secondary educational institution, founded in 1870 on the basis of a first-class women's school, was established thanks to the support of the Penza merchant of the first guild and hereditary honorary citizen I. A. Kononov. In 1862, he donated 5,000 rubles in silver for the creation of the women's gymnasium. The gymnasium had a humanitarian focus, and the majority of students were children of nobles and officials. In 1886, there were 348 female students enrolled in the gymnasium. The education lasted 7 years, and the 8th grade was pedagogical. Graduates of the gymnasium were not allowed to enter university, but many became public teachers, including V. K. Dormidontova, O. G. Zotikova, E. I. Tsibuzgina, N. V. Serdobolskaya, A. V. Vandyshova, N. P. Diligenetskaya, M. P. Molebnova, and others. Among the graduates, notable figures include Doctor of Biological Sciences and Honored Scientist of the RSFSR N. N. Ladygina-Kots, as well as poetess and translator V. K. Zvyagintseva. In the 1880s, the funding for the gymnasium included 1,200 rubles from the state treasury, 200 rubles from the city duma, and 5,700 rubles from the provincial zemstvo. Over the years, various subjects were taught by composers M. I. Kostromitinov, A. V. Kastorsky, and A. N. Karasev for singing, I. I. Sprygin for natural history, B. I. Tsilli for mathematics, and other subjects by A. N. Magnitsky, V. I. Pligal, and A. F. Dyubur. The gymnasium's trustees were usually the wives of governors: L. A. Tatishcheva, V. T. Goryainova, and E. N. Adlerberg. Since 1870, the chairman of the board of trustees was zemstvo leader A. N. Beketov. The period of the gymnasium's flourishing coincided with the leadership of M. V. Panchulidzeva, who graduated with a gold medal from the Odessa Institute of Noble Maidens in 1865. In 1903, a new building for the gymnasium was constructed based on the project of architect I. S. Kitner, now located at 9 Sovetskaya Street. The gymnasium functioned until 1918.

The author of the gymnasium building project was Ieronim Sevastyanovich Kitner, a well-known St. Petersburg architect and academician of architecture, who promoted the so-called "brick" style. He was also one of the founders and editors of the magazine "Zodchiy," which is still published today.