The history of the Sandunov Baths begins with the romantic story of their founders, actors of Catherine II's court theater, Sila Sandunov and Elizaveta Uranova. They met on stage and fell in love at first sight. However, Elizaveta caught the attention of Count Bezborodko, who sent Sandunov to Kherson. Uranova decided to take a bold step: during an opera written by the Empress, she performed a part in which she complained about a city seducer. Impressed, Catherine ordered Sandunov to be returned and the young couple to be married. Thus, on February 14, 1781, Elizaveta became Sandunova. After moving to Moscow, Sila opened public baths, inspired by the example of entrepreneur Lamakina.

In 1809, the Sandunov Baths began their operation and became a true technological marvel of that time. The building was constructed from stone with three sections: "common", "merchant", and "noble", each having male and female changing rooms, "soap" rooms, and steam rooms. Plumbing was installed, experienced bath attendants and servants were hired. The buffet offered a wide selection of drinks. At Elizaveta's insistence, spacious changing halls were created instead of cramped ante-rooms, and in the "noble" section, there were mirrors and soft sofas. This innovation proved successful: within a year, a sort of "bath" club formed in the "noble" halls, attracting regulars from Moscow salons and the English Club. Among the bath visitors were Pushkin, Chekhov, Bunin, Rachmaninoff, Gilyarovsky, Shalyapin, and other representatives of the Russian elite.