The venue was constructed as part of the 90s redevelopment of the Royal Opera House. It is named in recognition of donations made by the Linbury Trust towards the redevelopment. The Trust is operated by Lord Sainsbury of Preston Candover and his wife Anya Linden, a former dancer with the Royal Ballet. The name Linbury is derived from the names Linden and Sainsbury. It was opened in 1999 with a collaboration from three Croydon secondary schools (including Coloma Convent Girls' School and Edenham High School) in an original performance called "About Face".