Several Detroit businessmen organized the Detroit Hockey Club, Inc. in 1926 and purchased the Victoria Cougars hockey team, along with a site at the corner of Grand River Avenue and McGraw Street to construct an arena and engaged Detroit-based Walbridge Aldinger as general contractor. In July 1926, the Detroit Hockey Club unveiled drawings for the Olympia Stadium to be built on the site. The cornerstone for the building was laid by Mayor John W. Smith on March 8, 1927.

The Olympia opened on October 15, 1927; at that time the only other buildings that exceeded its seating capacity were Madison Square Garden and the London Olympia. The opening event was the International Stampede and Rodeo, which ran from October 15 to October 22. Shortly thereafter, the primary tenants of the building, the NHL Cougars, began their long residence. The Cougars played their first game at the Olympia on November 22, 1927, and Detroit's Johnny Sheppard scored the first goal at the new building. However, the visiting Ottawa Senators defeated the Cougars, 2–1. The Cougars later became the Falcons and finally, in 1932, were named the Detroit Red Wings by new owner James E. Norris.

In addition to the Red Wings, the Olympia was also home to the Detroit Olympics International Hockey League minor league team in the 1930s, the BAA's Detroit Falcons from 1946 to 1947, and the NBA's Detroit Pistons from 1957 to 1961; that period marked the only time until the opening of Little Caesars Arena in 2017 that the Red Wings and Pistons shared the same arena on a full-time basis. It hosted the NHL All-Star Game in 1950, 1952, 1954, and 1955, the NBA All-Star Game in 1959 and the NCAA Men's Ice Hockey Championship (known as the "Frozen Four") in 1977 and 1979.

The Olympia was also a major venue for boxing through the International Boxing Club (featuring such prominent fights as Jake LaMotta's defeats of Sugar Ray Robinson) and professional wrestling, as well as other events such as the 1931 American Legion Convention which was addressed by President Herbert Hoover, and regular visits by the Harlem Globetrotters, Ice Capades, Shipstads and Johnson Ice Follies. It hosted concerts by The Beatles on September 6, 1964 and August 13, 1966, as well as concerts by other popular performers and bands, including Led Zeppelin and Elvis Presley.

By the late 1970s, the neighborhood surrounding the Olympia had been in decline since the 1967 riots. In 1977, the Red Wings announced that they would be moving to a proposed arena in suburban Pontiac. The city of Detroit would counter with a proposed riverfront arena for much less rent that Pontiac was seeking. The package included operational control of both the new arena, nearby Cobo Arena and the adjoining parking structures. The Red Wings accepted Detroit's offer.

On December 15, 1979, three days after the first event held at Joe Louis Arena, the Red Wings played their final home game at the Olympia, a 4–4 tie against the Quebec Nordiques. Attendance at that game was 15,609. They would move to Joe Louis Arena on December 27. The final event at the building took place on February 21, 1980. It was demolished in September 1987. Currently, the Michigan National Guard's Olympia Armory occupies the site. A historical marker posted inside the armory commemorates the Olympia.

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