The orchestra was founded by the Pittsburgh Arts Society in 1895, and played its first concert the following year. Its first conductor was Frederic Archer, who brought in a number of players from the Boston Symphony Orchestra to strengthen the new ensemble.
Archer left in 1898 to be replaced by Victor Herbert, who was himself replaced by Emil Paur in 1904. The orchestra attracted a number of prominent guest conductors in these early years, including Edward Elgar and Richard Strauss, but had to be disbanded in 1910 due to financial difficulties.
It was 1926 before the orchestra was resurrected with its members rehersing for no fee, and each contributing money to make a new season the following year possible. The orchestra's leader, Elias Breeskin, was also its conductor for the first few years. In 1930, Antonio Modarelli was brought in as conductor. In 1937 Otto Klemperer was brought in to reorganise the orchestra, and he is credited with raising the orchestra to an international level.
Since then, the orchestra's existence has been unbroken. Its principal conductors have been Fritz Reiner (1938-48), William Steinberg (1952-76), André Previn (1976-85) and Lorin Maazel (1986-96). In 1996 Mariss Jansons became conductor.
After playing concerts in its earliest form at Carnegie Music Hall, the orchestra moved to the Syria Mosque. In 1971 they moved to Heinz Hall, a move funded by Henry J. Heinz II of the famous H J Heinz Company.