The road was laid out after 1901 and named after William Julius Gascoigne,Commander British Troops in China and Hong Kong from 1898–1903. It was reported in 1908 that "All the roads on the [Kowloon] peninsula are wide and lined with trees, and two in particular—Robinson Road [today's Nathan Road] and Gascoigne Road—are noticeable by reason of their width" and "Gascoigne Road, which is 100 feet wide, runs right across the peninsula from Hunghom to Yaumati, and skirts the King's Park, a large enclosure reserved for recreation, and the United Services Recreation Ground."
The Fronde Memorial, a granite obelisk, was erected in May 1908 in memory of the five sailors of the French Arquebuse-class destroyerFronde who disappeared in the sinking of their boat near the Torpedo Depot, Kowloon, during the 1906 Hong Kong typhoon. Initially erected at the corner of Gascoigne Road and Jordan Road, the monument was relocated to Hong Kong Cemetery in Happy Valley during the 1960s. The Fronde was later salvaged, repaired in the Hung Hom shipyard, and left Hong Kong in March 1907. It was active during WWI and was decommissioned in 1919.
Gascoigne Road was widened in 1988 and the adjacent slope near the Queen Elizabeth Hospital was cut back. A 12m high rock-socketed caisson retaining wall was constructed to support the cutting.
United Services Recreation Club (USRC; 三軍會) (#1). Opened in 1911 as a British military club, it is now owned by the People's Liberation Army, but administered as a limited company with a wholly civilian membership.