The hotel first opened in 1815 as the Prince of Saxe Coburg Hotel, an offshoot of a hotel opened by Alexander Grillon in Albemarle Street, Mayfair, and was originally a pair of Georgian houses in Charles Street, near Grosvenor Square. The 1st Duke of Westminster decided to redevelop the area, and the street was changed, becoming Carlos Place. In 1892 Scorrier, the owner, applied to rebuild the hotel, although work did not start until two years later, when the original houses were demolished.
In 1897, the Coburg Hotel was reopened. In 1917, during the First World War, the decision was made to change the name to the less-German "Connaught". The name chosen was taken from the title of Queen Victoria's third son, Prince Arthur, the first Duke of Connaught.