The club was founded on 2 January 1921, by sportsmen from the Italian colony of Belo Horizonte as Societ Sportiva Palestra Itlia. As a result of the Second World War, the Brazilian federal government banned the use of any symbols referring to the Axis powers in 1942.

Millonarios competes in the Clsico Capitalino against home-town rivals Independiente Santa Fe, Clsico Colombiano with Atltico Nacional and the Clsico Aejo against Deportivo Cali and also has a strong rivalry, under the name of Clsico de las Estrellas with Amrica de Cali.