On 28 June 1928 the club named S.D. Gimnástica Segoviana was officially created with Francisco del Barrio being elected as its first president.[3]
After playing since its foundation between Tercera División and the Regional leagues, Gimnástica Segoviana promoted to Segunda División B for the first time in 1999, but the club could not remain in the league and was immediately relegated after its first season in the third tier.