The Palace Theatre was Thomas Lamb's first design in Columbus; the second being the Ohio Theatre. His main influence was the famous Versailles Palace in France. It was opened in 1926 and was immediately thrust into use as a vaudeville venue. This meant that all acts performed without any assistance and so the acoustics in the Palace are particularly good, ensuring that all guests can listen to the performers.

Three years after its opening the Palace was renamed the RKO (Radio Keith Orpheum), a name it kept until the seventies. The theatre's backstage area is notable too in that it was designed with travelling actors and their families in mind, with kitchen facilities, kids play areas and even an animal bath! In the middle of the 20th century the Palace was the busiest of Columbus' theatres with top names such as Louis Armstrong, Duke Ellington and Glenn Miller all performing.

1989 saw CAPA buy the Palace Theatre and it still hosts many top international acts and broadway musicals alongside the other blue riband Columbus venues.