The park was originally built and operated as Warner Bros. Movie World Madrid, alternatively known as Warner Bros. Park Madrid. The park was built as part of a joint-venture of various shareholders, with the Community of Madrid, holding the highest of 40% and Caja Madrid holding the second highest at 20%. Other minor shareholders were Fadesa (15%), El Corte Inglés (5%), NH Hotels (5%), Six Flags (5%) and construction companies Dragados, ACS, Ferrovial, Necso and FCC (each with 2%). Six Flags also operated the park for the shareholders.

The park held its grand opening on 5 April 2002 with 10,000 invited guests including Bo Derek and Christopher Lambert as special guests. The park was opened to the general public on 6 April 2002.

On 3 April 2004, Six Flags sold its European Parks division including sister park Warner Bros. Movie World Germany to Palamon Capital Partners, becoming StarParks. Warner Bros. Movie World Madrid was not included in the sale and on November 23, 2004, it was announced that Six Flags' 99-year contract to operate the park was terminated, allowing the park's management to operate the park from then-on, and continuing to allow the use to use Warner Bros. properties. Six Flags' stake in the park was transitioned off to Warner Bros. Entertainment itself.

In 2006, the park was renamed as "Parque Warner Madrid". This season saw the premiere of two new shows, Police Academy 2 and Batman Begins, the latter based on the latest movie from Warner Brothers and DC Comics. Both received good reviews from visitors to the park. In November 2006, the Community of Madrid sold their stake in the park to Fadesa, who by then had held 73% shares in the park. After the sale, Parques Reunidos were announced by Fadesa to operate the park as part of a ten-year agreement. In February 2007, Fadesa announced an agreement that would allow Parques Reunidos to purchase the park within a two-three year span. Following the bankruptcy of Fadesa, Parques Reunidos fully purchased out all the shareholders of the park to fully own and operate the park, with Warner Bros. retaining its 5% stake.

The 2008 season saw two further developments: a water attraction called Oso Yogui and a new show, The Music of Bugs Bunny, based around the glamor of Hollywood in a performance reminiscent of the great Broadway musicals. Following the new ownership, the park gave its first yearly profit after operating on a loss over the past few years.

In June 2014, a water park, Parque Warner Beach, was opened. The €8.5 million park spans 30,000 square metres (320,000 sq ft) and features two wave pools, a lazy river and two water play areas. Like parts of the original theme park, Parque Warner Beach is themed around Looney Tunes, Hanna-Barbera and DC Comics characters.