The Albert Palace was a grand glass and iron construction, similar to the Crystal Palace, that had partly housed the Dublin Exhibition of 1865 and which was dismantled and brought to Battersea. With gardens designed by Sir Edward Lee that included fountains, a conservatory and a bandstand, it formed a backdrop to the lake on Battersea Park, with its main frontage on Prince of Wales Road - now Prince of Wales Drive. The central part of the palace consisted of a 473 foot nave with a central apse for an orchestra. The Connaught Hall Concert Room at the west end and a tea room to the east increased its total length to about 675 feet. Its interior was decorated with the assistance of the designer and decorative artist, Christopher Dresser.

The Grand Opening of the palace took place on 6th June 1885. This poster advertised the variety of entertainment on offer the following year, for the Easter Monday Fete, 26th April 1886. The doors opened at 9am and continuous entertainment was provided throughout the day from bands including the Band of the 1st Life Guards, the Band of Drums and Fifes of the Scots Guards, the Pipers of the Scots Guards, the Band of the 3rd Middlesex Artillery, the Band of the Albert Palace, and the Band for Variety Entertainment of the Connaught Hall, who combined in the evening to play Jullien's British Army Quadrille. The variety artistes that were advertised to perform in the Connaught Hall and on the new stage in the nave were Herbert Campbell, Henrie Clarke, Jolly John Nash, Fred Albert, Alfred Vance, Fred Cairns, J.P. Wise, Fred Mathews, Tom Lindon, George English, J. Merritt, Harry Starr, John Barnum, Fred Backus, Harry de Brenner, Marie Alexandre, Cora Cardigan, Lily Wilford, Victoria Dyberg, The Sisters Delaine, Mlle. Nizea, Leonce and Lolla, the Brothers Courtney, the Swiss Mountaineers, the Pavanellas, the Moxon Trio, Monsieur and Madame Pettigrove's marionettes or 'Mannikin Company', Mlle. Alcide Capitaine - 'Daughter of the Air', and the 'Beautiful Flying Lady' Maggie Claire. A Diving Bell was exhibited during the day and patrons could visit the art gallery or the Victoria Cross Gallery. The day ended with a grand firework display by J. Wells of London, which culminated in a display centred around a portrait of the proprietor of the palace, William Holland.

Despite its grandeur and entertainments, the Albert Palace failed to make a profit and despite efforts to save it, it was closed and the land was sold to developers. Albert Palace Mansions and Prince of Wales Mansions were erected on the site of the palace, with Battersea Polytechnic, 1893, and York Mansions,1897, replacing its gardens.