The Ambassadors Theatre was designed by W G R Sprague who designed many West End Theatres including the St Martin's situated next door and the Aldwych Theatre in Covent Garden. It was built by Kingerlee and Sons of Oxford.

The theatre opened on 5th June 1913 with a production of Panthea, a play by Monckton Hoffe which ran for only 15 nights.

The great impresario Charles B. Cochran took a lease on the theatre in 1914 and introduced what was then a new genre of entertainment from Paris, the 'intimate' review. Odds and Ends starring the French actress and singer Alice Delysia ran for over 400 performances. More Odds and Ends followed in 1915.