Filey was established in 1897 and the original course was situated on land to the north of the old East Yorkshire fishing town. The course moved to its present site on the south side of town two years later.

The design of the 'new links' is credited to James Braid and examples of his design features can be seen on the course. It has been suggested that Dr. Alister Mackenzie, during his period of residence in Leeds, made amendments to the original design. Interestingly, Harry Vardon, during his period as club professional at nearby Ganton, would often play challenge matches over Filey.

The course has been modified over the years but still retains the original Braid layout.