The theatre was built between 5 and 1 BCE, as has been proven by the dedication of the edifice to Gaius and Lucius Caesar, grandsons of Augustus, who had designated them as his successors.

In the 3rd century a market was built over the theatre, reusing its materials, with a semicircular open space which followed the plan of the orchestra. The market was perhaps abandoned after a fire caused by the Vandals in 425. A market quarter of the Byzantines was established on the site in the 6th century.

During the 13th century the Old Cathedral of the city was built over the upper cavea. In 1988 the first remains of the theatre were discovered during the construction of the Centro regional de artesanía. The archaeological excavations and the restorations were completed in 2003. In 2008 a museum, designed by Rafael Moneo, was opened.