The club was founded in 1886.
The KG Club provides various sports and games facilities for its members. The club has a main building with a restaurant, snooker room, cafe and prayer room. There is a separate sports building and a cricket ground. There are tennis and squash courts as well. Most sports activities have coaches for newcomers. One has to pay for coaching services and membership is necessary to enroll in coaching courses. Every year there is an annual sports festival in which members and their children take part in various sports events on the cricket ground. There are regular tournaments for squash, swimming, cricket, table tennis and tennis. There are three types of swimming pools. One is the main pool for experienced swimmers, and there is one for learners. There is also one for younger children and toddlers. The Karachi Gymkhana cricket ground has been home to many famous matches as well. Famous cricketers such as Imran Khan have played on the cricket ground.