The Lyceum Theatre has occupied the site since 1879 when the Grand Varieties Theatre was built. Constructed using wood and originally intended to be used as a circus, the theatre was managed by the parents of a music hall comedian Daniel Leno, who regularly performed here during the early stages of his career. The lease came to an end in 1884 and the theatre burnt down in 1893. This was replaced by City Theatre, but this was demolished six years later so to make way for what is now the Lyceum.
Built to a traditional proscenium arch design, the Lyceum is the only surviving theatre outside London designed by the theatre architect W.G.R. Sprague and the last example of an Edwardian auditorium at Sheffield.
The statue atop of the Lyceum Theatre is Mercury, son of Zeus and Maia.