The Club was constructed on a 2425.95 square meter plot, which was acquired in 1928 by the then Air Defense unit. Its total area is about 8270 sq.m. The building is not the residence of Petros Saroglos, as it is thought by many. His residence was in another location in the center of Athens.

The construction of the building began at 1928. On February 29th, 1928, the famed Greek architect Alexandros Nikoloudis, graduate of the French École des Beaux-Arts, was commissioned to design the building. Nikoloudis had won in 1912 an architectural competition for the new Courthouse, which was to be built on the site of the Artillery Barracks in the centre of Athens. That project was eventually canceled and instead Nikoloudis designed Sarogleio Mansion, bequest of P. Saroglos. Saroglos’ marble bust, by sculptor K. Paleologos, is located on the left of the building’s entrance.

In October 1928, Nikoloudis presented a draft plan of the building to the Running Committee. The final plans were approved on May 13, 1929. On June 24, engineer Achilles Karras, was hired to oversee the structural design of the building, while engineer Gaston Zillieros was hired as project manager. On August 2, the Committee commissioned building company "D. Kapsambelis & Co " to oversee the building’s construction. A religious ceremony followed a few months later, on November 11, during which the foundation stone was laid.

On November 13, 1931, the Club’s Running Committee, decided that two signs would be placed on the building’s façade, reading “SAROGLEIO” and "ATHENS GUARD OFFICERS’ CLUB". The second inscription was later replaced by "ARMED FORCES OFFICERS’ CLUB " and was eventually removed by Order of the Hellenic National Defence General Staff, during the façade’s renovation, which was conducted by the Hellenic Navy General Staff in 1992.

In the minutes of the Running Committee’s meetings, there is no exact date of the building’s completion, but it can be deduced that the operation of the Club at its new premises began by the end of April 1932, while the works had been completed at their entirety by the end of that year or in early 1933. 

In 1971 the building was expropriated by the Greek government to function as a cultural center, however in 1979 it returned to the ownership of the Officer’s Club. In 1992 the building’s façade was renovated, however, in 1999 the building was seriously damaged by the Athens Earthquake. Following five years of works, the Club reopened in 2004.