Since its foundation the theatre has been working in different forms and under different names on the first floor of the residential building designed by Gyula Schweiger in 1898. The building was originally built for the purposes of a music hall, thus called Folie Caprice between 1898 and 1918. Jenő Heltai wrote: “the sirs and squires from the provinces came to Pest for “culture”, attending the theatre and the Orpheum. Travelling to Budapest meant: calling at Folies Caprice, laughing at the small Rott, the great comedian, and bringing the best German and Jewish jokes back home to the local casino…” (Jenő Heltai: Yvette Guilbert). Surprisingly, a new biking and sports hall was opened on 2 December 1898 under Révay Street no. 18. According to the accounts from the time, the splendid, glass-covered hall gave great opportunities for all kinds of sports.

The Folies used to be a genuine Orpheum, with boxes, private rooms, where dinner could also be had. Casino de Paris was the name of the dance hall furbished in a winter garden on the mezzanine. Playing permit was issued for the theatre “Small Comedy” and the Casino de Paris for 1922/1923, while the programme was half German half Hungarian, due to the burlesques performed by Sándor Rott. Between 1904 and 1909 on Sundays the theatre gave space to the Thália Company (Thália Társaság), who were looking for new theatrical forms and were hosted by the Folies Caprice to play their realist naturalist stagings, quite a novelty at that time.

Next to the Small Comedy, run by Sándor Rott and Géza Steinhardt the venue was also used by the Deutsche Volksbühne in the summer. Between 1823 and 1927 the Chamber Theatre of Rózsi Forgách played here, focusing on modern Hungarian and foreign plays and, from 1826, also childrens’ performances. Milán Füst’s Boldogtalanok (The Unhappy Ones) also had its premiere here. From 1927 the venue was operated by the Upor Coffe House. After a short period hosting Artúr Bárdos’s Artistic Theatre (in 1932) the building became the home of the Pesti Színház, until 1934. Director István Bródy wished to have entertainment and comedy shows here. The winter garden of Folie Caprice was refurbished into Alhambra, where one of Lehár Ferenc’s operetta was also played (the Srping Dream). Between 1935-1948 it was rented by the Vígszínház and used as its chamber venue. During the years of Communist dictatorship up to 2008 it worked as Merry Theatre, opening with a cabaret show in September 1951.

The last full renovation of the building was carried out between 1968 and 1970, as a result of which the building had lost its Art Noveau character. The plans were made by Mária Siklós (KÖZTI). A new service wing was furbished with dressing rooms, heating systems and the elevator. This is when the foyer of the theatre and the public access areas were separated from the main stairway of the residential building.  In 1979 a studio hall was added to the theatre on the second floor, named Small Stage.

In 2008 it was renamed to Centrál Színház, reflecting director Tamás Puskás’s programme trying to find a healthy middle way between artistic experimenting and entertainment.

In 2004 a smaller refurbishment redesigned the façade, adding an extra entrance gate, which tried to restore somewhat the original form (design by Gergely Fernezelyi). In 2006 Meckvill Ltd. designed and manufactured a new heating system for the theatre. During the last couple of years the auditorium was refurbished: by removing the balcony boxes upstairs a number of extra seats could be added, which were even made wider and more comfortable than before.