The baths were commissioned by Maximian in honor of co-emperor Diocletian in 298 AD, the same year he returned from Africa. Evidence of this can be found in bricks from the main area of the baths, which distinctly show stamps of the Diocletianic period. These, according to the ancient guidebook Mirabilia Urbis Romae, were known as "Palatium Diocletiani". This evidence shows the effect of the massive project on the brick industry in that all work by them was redirected and under control of the emperor. Building took place between the year it was first commissioned and was finished sometime between the abdication of Diocletian in 305 and the death of Constantius in July 306.
In the early 5th century, the baths were restored. The baths remained in use until the siege of Rome in 537 when the Ostrogothic king Vitiges cut off the aqueducts.
In the 1560s, Pope Pius IV ordered the building of a basilica in some of the remains, to commemorate Christian martyrs who according to legend died during the baths' construction, Santa Maria degli Angeli e dei Martiri. To this was attached a Carthusian charterhouse. Michelangelo was commissioned to design the church and he made use of both the frigidarium and tepidarium structures. He also planned the main cloister of the charterhouse. A small cloister next to the presbytery of the church was built, occupying part of the area where the baths' natatio had been located. After 1575, starting under Pope Gregory XIII, several remaining halls of the baths were converted into grain and oil stores for the city of Rome.
After Rome became part of the Kingdom of Italy, its seat of government was moved to the city. In 1884, the Carthusians abandoned the charterhouse and the area around the baths was subject to substantial changes. Roma Termini station was built, the Ministry of the Economy moved to the area, and the Grand Hotel and Palazzo Massimo were constructed. Gaetano Koch designed the palazzi fronting Piazza dell'Esedra (now Piazza della Repubblica), destroying part of the original exedra. Via Cernaia cut off the western gymnasium from the remains of the enclosure wall (the latter are now in Via Parigi). In 1889, the Italian government set up the Museo Nazionale Romano in the baths and in the charterhouse.