As early as 1819 an Act of Parliament had granted the Navy Board permission to build a Market in Pembroke Dock. The planners had, however, overlooked the ancient privileges held by the Freemen of the nearby town of Pembroke, which granted them the sole right to trade within the Borough of Pembroke. Years of wrangling followed and eventually the Navy Board agreed to pay the Freemen of Pembroke the sum of £3000 in compensation for having breached their rights. The Market House was completed in 1826 and the townspeople of Pembroke Dock celebrated. At the same time as building the Market Hall the naval authorities made improvements to Front Street and Commercial Row so that traders and shoppers arriving by water would have a smoother journey through the town.

The market still opens once a week, on Fridays.