The park takes its name from a large mansion - The Grange - which was built in 1831 and stood facing Kilburn High Road where the Grange Cinema eventually stood.

The Grange, at the end of its time, stood at the centre of the poorest and most crowded part of Kilburn. The streets were the only open space outside the playgrounds of the Council schools.

The first hopes that the space could be made into a public park were raised in 1901 when the owner, Ada Peters, decided that she didn’t want a school built on the edge of her grounds, in Kingsgate Road. She encouraged local residents in the belief that they could purchase the grounds as a park. However, the London School Board had already bought the land in 1892, renting it back to the Peters family until the school was needed.

A local Grange Open Space Committee was formed in April 1901 to resist the ’mutilation’ of the grounds: the short-lived campaign gained popular support before collapsing in June 1901, as Mrs Peters first prevaricated and finally had to admit she couldn’t deliver. The School Board was forced to take her to court in 1902 to obtain possession of the site, and by October the foundations for Kingsgate School were laid.

Ada Peters died soon after and the legally as a result the Peters family regained possession of the Grange and its grounds. For a second time, plans supporting a park were made and meetings called.

A couple of weeks after Mrs Peters’s death, the local paper reported that the nine and a half acre estate was for sale. Agents acting on behalf of the Peters family contacted Hampstead Council to ask if the authority was interested in buying it as an open space, reminding them of the unsuccessful but hugely popular campaign of 1901. Councillors asked for a three month option to buy, giving them time to get an independent valuation of the property. The family refused an option to purchase and had decided the property would be publicly auctioned but by deferring the sale, they hoped this would give the Council ‘nearly the three months required.’

Councillors from both Hampstead and Willesden, the local MP accompanied by representatives of Middlesex County Council and the Metropolitan Gardens Association, outlined their viewpoint: "They desire to point out that unless the present opportunity of acquiring this estate is embraced all chance for providing an open space for Kilburn will disappear."

The Grand lands failed to meet their reserve of £35,000 at the auction held on 24 May 1910, which was mainly attended by developers. The top bid was only £30,000.

The Council re-opened negotiations with the Peters family, offering to buy eight and a half acres of the land plus an access strip from the High Road. The reply was conditional but positive: while the Peters wanted to sell the estate as one lot, they would be willing to sell the ‘park’ land for £18,000 so long as the plots fronting the High Road was sold at the same time and simultaneous contracts exchanged. This was still a considerable amount of money, but working on an anticipated £5000 from the LCC plus £4000 from their own funds and private donations (over £500 already collected), Hampstead Council again approached the agents acting for the Peters.

The family suddenly sold the land to Oswald Stoll, a major name in the entertainment world. He was interested in the Kilburn High Road frontages and had less interest in the land behind.

In October, Stoll’s agents contacted Hampstead Council. They offered five and a half acres of land at an asking price of £12,500. This would lie on either side of a proposed new road, running from the High Road across the estate, to make a junction with Hemstal Road. The Council agreed but only if the price was reduced to £10,000. Stoll’s agents agreed to the Council’s offer but their further condition was for Hampstead to pay half the cost of creating the new road.

Hampstead Council agreed to all Stoll’s terms for purchase and allowed a building licence for his proposed ‘Kilburn Coliseum.’ music hall. Entertainment advances meant that the impressively domed Grange Cinema opened in 1914 on the High Road corner of Messina Avenue, the march of modern technology having overtaken Stoll’s earlier plans for a music hall.

The land decision was taken out of Hampstead’s hands a few months later, when the LCC agreed to purchase around eight and a half acres of the Grange estate for £19,500 and maintain it as a park. Hampstead Council’s contribution was £5500 with Middlesex County Council and Willesden Council each pledging £1000.

Contracts were exchanged on 4 April 1911, and as originally conceived, the park covered seven acres. The LCC earmarked half an acre to enlarge the site of Kingsgate Road school and reserved an acre along Messina Avenue in case it was needed for ‘tramway purposes’, but agreed to add this to the park in 1914. The name ‘Kilburn Gardens’ was proposed for the park by the LCC, but Hampstead’s suggestion that the name of the old house should be perpetuated was adopted, hence it became ‘Kilburn Grange.’ The grounds were opened informally for much of the summer of 1911 while plans for its layout were completed. These included: "An ornamental garden, children’s playground, model yachting pond, band stand, footpaths, drainage, etc., and at a later stage, children’s gymnasium, tennis courts, bowling green, and accommodation for refreshments."

Existing trees were to be kept, and three entrances planned: from Hemstal Road, Messina Avenue and the High Road.

It took a while to complete the landscaping, during which time the grounds were generally closed; in fact nearly two years elapsed before the LCC informed Hampstead Council the park would be opened to the public on 1 May 1913.