Formed c. 1888 on the suggestion of George Stampe to Richard Green, the Society began as a small group of enthusiasts among whom a 'Manuscript Journal' was circulated. It was given a formal constitution and a wider membership in 1893 and held its first meeting during the 1894 WM Conference in Birmingham. Other founding members included Francis F. Bretherton, Charles H. Crookshank, William F. Moulton, Marmaduke Riggall, John H. Ritson, G.Stringer Rowe, John Telford and T.E. Westerdale. A spasmodic series of 'occasional publications' began in 1896. The quarterly (now triannual) Proceedings began publication in 1897. The first editor was the Rev. R. Waddy Moss. Despite its misleadingly restrictive name, one aim of the Society from the outset has been 'to promote the study of the History and Literature of Methodism', but only in recent years has it broken free of its Wesleyan moorings and encompassed non-WM and more recent Methodist history.
The first Annual Lecture was given during the Methodist Conference of 1934 by Dr Henry Bett on 'The Early Methodist Preachers'. The Society's Library, originating as a bequest of books and other material by Bretherton, was set up in the crypt of Wesley's Chapel in 1959, moved temporarily to the nearby Epworth House in 1972, then to Southlands College and in 1992 to Westminster College, Oxford. An autonomous Irish Branch, affiliated to the parent Society, was formed in 1926. The first of what became 16 'local branches' throughout England, Scotland and the Isle of Man, was organized in East Anglia in 1958. Each Branch is informally associated with the Society, arranges lectures and pilgrimages and publishes a journal or bulletin.