In 1885, Antonina Yermolayeva, alumni of the Moscow Conservatory, opened a private music school with the support of her sisters Yelizaveta and Yevgeniya. Antonina Yermolayeva became director of the school. Musical classes under the Baku department of the "Musical Union of Russia" were opened on the basis of this school in 1901. Antonina Yermolayeva was in charge of them too. Education in these classes were professional. In 1916, musical courses were transformed into a musical school. Pedagogical staff of the school mainly consisted of alumnus of Russian conservatoires. Education was based on the curriculum which was accepted in Saint Petersburg and Moscow, in the beginning of the 19th century. In 1922, Uzeyir Hajibeyov, the most famous Azerbaijani composer, led the school. New faculties, where foundation of theory and play on Eastern instruments was also taught along with the European instruments, were opened during Uzeyir Hajibeyov's direction (1922-1926 and 1939-1941). In 1953, the school was named after Asaf Zeynally, an Azerbaijani composer and pedagogue.