It was founded in the early 1970s by Elmer Valentine and Mario Maglieri, who later brought in partner and manager Lou Adler, in a building previously occupied by a strip club owned by Jerry Lewis. (Adler was actually responsible for bringing the stage play Rocky Horror Show to the United States, and it opened its first American run at The Roxy Theatre in 1974, before it was made into the movie Rocky Horror Picture Show the next year.)
Hundreds of famous and yet-to-be-famous bands have played its 400-500 capacity theater. Unlike the nearby Whisky A Go-Go, the Roxy is still considered a highly prestigious venue.
The small On The Rox bar above the club has hosted a wide variety of debauchery in its history ; it was a regular hangout for John Lennon, Harry Nilsson, Alice Cooper and Keith Moon during Lennon's "lost weekend" in 1975, and in the 1980s hosted parties arranged by "Hollywood Madam" Heidi Fleiss.
Frank Zappa and the Mothers of Invention recorded an part of an album during December 1973 at The Roxy, entitled Roxy and Elsewhere