Steeped in history, the park was once the site of Theobalds Palace, a favoured residence of James I. Queen Elizabeth I also visited Theobalds.

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The manor of Cullynges existed in the 14th century and was renamed Tongs in 1383. It had a grand main building, 76 acres of crops, 91 of pasture, 10 of meadow, and 5½ of wood. The name "Theobalds" was first mentioned in 1440.

Sir William Cecil purchased Theobalds in 1563 and Queen Elizabeth I visited in 1564 – after this visit, he began work to extend the property to better suit the Queen's needs. By the end of the 1560s, Theobalds was already England's largest private house and in 1585 the grand house was completed. This was one of several "Prodigy Houses" constructed during the Elizabethan period. The Queen stayed here over 15 times during her reign.

King James I first visited Theobalds in 1603 and favoured it over Hatfield House, therefore he exchanged it for Theobalds in 1607. An extensive Deer Park was added to the grounds and a number of new buildings were constructed – including a Silkworm House as the King wanted to create a silk industry in England – and Theobalds was considered one of the most grandiose properties at that time. The country was run from these grounds for most of the King's later life. James I died at Theobalds in 1625 and his son was crowned Charles I at the gates.

A parliamentary survey in 1650 estimated the size of the estate as over 2500 acres, and determined it was being kept in an excellent condition and not fit for demolition, and the materials were valued at £8275 (over £1.2 million today). Tragically, this was ignored and Oliver Cromwell's Parliament began to take down the palace in 1650. The money was distributed among the troops in the English Civil War. In 1765, the rest of the palace was destroyed to construct Theobalds Square (see below).

The estate was passed through several people before being sold to George Prescott in the 1760s. He constructed a mansion  to the west, and a number of smaller houses (Theobalds Square) on the former palace site. The latter comprised materials from the demolished palace buildings. One of the houses was known as The Cedars, owned by Admiral of the Fleet Sir Hedworth Meux.In 1919, Admiral Meux generously donated these grounds to the people of Cheshunt to be used as a public park, which opened in 1921 as "The Cedars Park".