The Sheldon was built as a home for the St. Louis Ethical Society established by Walter L. Sheldon and Prague-born James Taussig. It was erected in 1912 from plans by Louis C. Spiering (1874-1912), a St. Louis-born architect, who had extensive European training in Berlin and Paris. Spiering also designed the north section of the St. Louis Artists' Guild building at 812 Union Boulevard.

In 1964, the Ethical Society relocated on Clayton Road in St. Louis County. The non-profit Sheldon Arts Foundation purchased the Washington Avenue building in 1991. Recently remodeled, today the Sheldon Concert Hall is known for its near perfect acoustics. The Sheldon has been expanded since 1998 to include five new art galleries, a new lobby, a sculpture garden, and the 500-seat Louis Spiering Room