The Selangor Turf Club held its first meeting in March 1896 over two days and seven events on each day, with Sir Frank Swettenham, first Resident-General of the Federated Malay States, as its President. However, racing had in fact, began in the early Nineties.

In 1895 the new course was laid out at Ampang Road, where professionals were henceforth allowed to ride at all meetings. There was a membership of 110. Horses had begun to travel from one racing centre to another by coastal steamer and by rail. Those based at Seremban often did the three-day walk to Kuala Lumpur meetings. Banks and business houses closed on race-day afternoons, as bank clerks were being used to run the hand-operated tote, whose early development in the Peninsula was supervised by the well-known P.W. Gleeson, later secretary of the Selangor Club. Meetings were an opportunity for the ladies to parade their finery and it is recorded that stewards were appointed to place bets and winnings for them.

By 1906 membership had risen to 300. There were three meetings that year and stakes exceeded RM15,000. Racing standards had improved. Kuala Lumpur stables produced their share of champions, including Seronok, an imported griffin, who won nine races in a row in 1912-13, a record which still stands. As elsewhere in the region, racing had a thin time during World War I and took time to recover. Then it was again hit by the world depression. It was not until 1931 that the club ran its own Gold Cup over 1¼ miles, with stakes of RM2,500, plus about RM1,000 added money. This year, the classic, now known as the Tunku's Gold Cup, was RM25,000 in stakes, plus RM3,250 added money. Measure, imported from Australia, trained at Kuala Lumpur by Neal Hobbs and carrying the colours of millionaire tin-miner Lee Nam won the first Cup in a finish of short heads. By 1940 club membership had risen to 4,911.

Then came the war and with peace again the Club revived racing, Sir Sydney Palmar becoming Chairman in 1947. Growing interest in racing emphasized the need for better accommodation and the committee decided that the old stand, fondly referred to as "our dear old attap shed", had to make way for an ultra-modern one, The Royal Stand was duly opened in April 1966 by the Prime Minister, Tunku Abdul Rahman, a great patron of the turf.