The building which now houses The Haymarket opened in 1865 as the Corn Exchange for the town at a cost of £4,000, and was bought by the Basingstoke Corporation in 1874. The Corn Exchange often served as a public meeting hall, and General Booth famously addressed the Salvation Army Rally here in 1880. By 1910 it was being used as a roller skating rink, when it had a polished marble floor.

In 1913 it was refitted and renamed The Grand Exchange Cinema, operating as both cinema and variety house.

In 1925 it was gutted by fire, which left only the external walls and roof girders standing. Somewhat ironically, the town's Fire Engine was housed in the basement. Having been rebuilt, it continued as a cinema until 1940.

Between 1940 and 1950 the building was operated by Will Hammer Theatres Ltd - remembered nowadays primarily for its Hammer Horror films.

In 1951 it was renamed the Haymarket Theatre and run by a non-profit making company. Local amateur companies used the building extensively, including the Basingstoke Symphony Orchestra, Basingstoke Choral Society, BATS and BAOS – all still performing today.

In 1974, Artistic Director Guy Slater formed the Horseshoe Theatre Company, a professional repertory and touring company. In 1986 this company combined with the company running the theatre and became based there.

In 2007 the company folded and the theatre was closed. Basingstoke and Deane Borough Council asked The Anvil Trust to take over the lease. After extensive refurbishment of the box office, bars and foyers, the building re-opened as The Haymarket in September.