The history of the gallery dates back to 1872, the year in which it was proposed to expand the Piazza Colonna opposite to adapt it to the changing needs of the area, following the establishment of the Chamber of Deputies in the nearby Palazzo di Montecitorio. At the time, the seventeenth-century Palazzo Spada al Corso, built in the late sixteenth century, stood on its site. At the end of the nineteenth century, the Municipality of Rome expropriated the building and demolished it a few years later.

The construction of the current building, begun in 1914 and inaugurated in 1922 based on a design by architect Dario Carbone, is characterized by its unmistakable Art Nouveau style. The glass panels on the ceiling with the original stained-glass windows have survived subsequent restorations.

Intended for commercial activities Commercial and office buildings, it was initially known as Galleria Colonna, then changed its name in 2009 in homage to the great Italian actor Alberto Sordi. The iconic gallery, since its construction, has always been one of the most elegant meeting places in the city.