On the 25 April 1916, the first anniversary of the landing of the Australians at Anzac Cove, Gallipoli, a fund was opened to raise money to erect a permanent memorial to those from NSW who served in The Great War 1914 - 1918. By the end of the year the fund had reached £60,000. In 1923 the Institute of Architects suggested the Memorial be erected in Hyde Park. During 1929 a competition was held for the design of the memorial and 117 designs were received from all over the world. The first prize was awarded to Mr Charles Bruce Dellit, which did not include sculptures by Raynor Hoff at the time that it won the prize.

Building commenced in 1930 during the height of the Great Depression, and the Memorial was officially opened on 24 November 1934 by His Royal Highness, The Duke of Gloucester.

In 1984, following a proposal by the Trustees, the ANZAC Memorial (Building) Act 1923 was amended to enable the Memorial to be rededicated as a Memorial to include all Australians who serve their country in war.