The project, known then as the MSG Sphere, was announced in February 2018. The project was initially a partnership between the Madison Square Garden Company (MSG) and Las Vegas Sands Corporation. Sphere is just off the Las Vegas Strip and east of the Venetian resort, which was opened by Las Vegas Sands in 1999. Las Vegas Sands contributed the 18-acre (7.3 ha) site for the project. Apollo Global Management purchased the Venetian in 2022 and became MSG's new partner on the Sphere project, replacing Las Vegas Sands. As part of the sale, the land beneath the Venetian Resort and Sphere was purchased by Vici Properties.

The sphere-shaped project was designed by Populous, with an interior that includes the world's largest LED screen. MSG initially estimated the project cost at $1.2 billion. In February 2020, the company said the cost had increased to $1.66 billion as a result of design changes consisting of guest enhancements. The cost continued to increase, eventually surpassing $2 billion due to the 2021–2023 global supply chain crisis and the 2021–2022 inflation surge. With a final expected cost of $2.3 billion, it is the most expensive entertainment venue in Las Vegas history, beating out the $1.9 billion Allegiant Stadium.

A groundbreaking ceremony was held on September 27, 2018, and was attended by approximately 300 people, including Las Vegas Sands' Sheldon Adelson and Nevada governor Brian Sandoval. In November 2018, it was reported that the MSG Sphere would be built along with new bars, private suites, a museum and retail space. AECOM began working on the site in February 2019, through a preliminary agreement. AECOM had worked on several other stadiums, including the T-Mobile Arena in Las Vegas. Excavation was underway in March 2019. Approximately 110,000 cubic yards (84,000 m3) of dirt and caliche were excavated to prepare the site for construction. AECOM was named as the general contractor in June 2019. The project had 400 construction workers. This number was expected to eventually reach a peak of 1,500. Construction of the basement was underway in July 2019.

By October 2019, construction crews had completed the 80,000 sq ft (7,400 m2) basement as well as the first ground level of the venue. The basement area will be used as public space for events. Excavation went as deep as 21 feet (6.4 m) for construction of the basement. In December 2019, the spherical structure reached 65 feet (20 m) in height with the completion of a fourth level, out of eight above-ground floors.

In February 2020, the world's fourth-largest crane, a Demag CC-8800 crawler crane, was set up on the site's northeast side for the purpose of lifting heavy construction materials. The crane is capable of standing up to 580 feet (180 m). In a disassembled state, the crane was transported across the Atlantic Ocean from Zeebrugge, Belgium to Port Hueneme, California. The crane then required 120 tractor-trailers to transport it to Las Vegas. A separate crane was required to assemble the main crane, a process which took 18 days. In March 2020, construction reached the widest point of the spherical structure, the 516-foot (157 m) diameter, located at the sixth level and 108 feet (33 m) above ground.

The project had been scheduled to open in 2021. However, MSG announced on March 31, 2020, that construction would be suspended due to the COVID-19 pandemic. The project experienced a disruption in its supply chain, a result of the pandemic, and this hindered construction progress. All construction work on the project was expected to come to a stop over the next two weeks following the announcement. In August 2020, MSG Entertainment announced that construction had resumed on the project, with the opening rescheduled for 2023. Over the subsequent 15 months, construction would be focused on concrete, followed by steel erection and then the 13,000-ton steel-domed roof, the most complex part of the project. In October 2020, crews completed the heaviest lift up to that point, with the installation of two 240-ton steel girders.

MSG took over as general contractor in December 2020, although AECOM continued to provide support. A 170-ton steel compression ring was added in February 2021, marking the heaviest lift of the entire project. Due to its size, the ring had to be assembled at the construction site. Work crews spent three weeks welding and bolting the prefabricated steel pieces together, and the crane was then used to lift the ring into place.

The dome's roof required 3,000 tons of steel. The roof started to take shape in March 2021, as crews began the installation of 32 trusses, each one weighing 100 tons. Truss installation reached the midway point in May 2021, and the crane had to be moved to the southern side of the property to install the remainder. Because of its size, the crane's relocation took two days.

The dome was topped off on June 18, 2021, and work was already underway on an external exosphere which would be built around the dome. The exosphere is made of LED light panels which are visible from several miles away and is 30 percent taller than the dome. Work on Sphere's interior began in August 2021.

Upon completion of the roof's steel frame, 6,000 cubic yards (4,600 m3) of concrete were then pumped onto the roof. This formed a layer measuring 10 inches (250 mm) in thickness, and weighing approximately 10,000 tons. The roof was finished in October 2021. Crews then turned their focus to the 730-ton steel interior frame which supports the LED screens and audio system. Work on the interior frame continued into 2022.

A second topping out, for the exosphere, took place on May 24, 2022. This was followed by installation of the interior and exterior LED screens. The latter was illuminated for the first time on July 4, 2023, during Independence Day celebrations. Sphere soon went viral for its display of images.

On April 20, 2023, the venue's owner Madison Square Garden Entertainment (which had, in turn, been spun off from the Madison Square Garden Company in 2020 in order to focus on its professional sports assets) spun off its "traditional" live events business under the Madison Square Garden Entertainment name in order to insulate them, retaining Sphere and its regional sports network businesses under the new name Sphere Entertainment. The MSG name was subsequently removed from the venue, which was officially renamed "Sphere".

Sphere opened on September 29, 2023, with the opening of U2's concert residency U2:UV Achtung Baby Live at Sphere. It marked the group's first live show since 2019. Sphere plans on hosting four to six residencies each year. The company also debuted its first feature film, Postcard from Earth by director Darren Aronofsky, at Sphere on October 6, 2023. The venue will employ up to 3,000 people. Since opening, Sphere operated at a $98.4 million loss at the end of the third fiscal quarter of 2023. In 2024, Sphere grossed $420.5 million from 1.3 million concert tickets sold, ranking as the top-grossing venue of any size that year; it is the highest annual gross of any venue in Billboard Boxscore history.