Københavns Golf Klub was founded in 1898 and is the oldest golf club in Scandinavia. Initially the game was played on Lammefælleden close to Vibenshus Runddel in Copenhagen. The players dug the holes in the morning and covered them up in the evening. After a few years the golf club was able to rent an area south west of the Eremitage Castle, and in 1899 a 9 hole course was created opposite Klampenborg racetrack. In 1928 the current 18 hole course was inaugurated; 16 of 18 holes are still played in the same order as back then.

The golf course follows the natural rolling countryside from a time when the area was farmland. The course was designed by a now unknown Scottish architect and established in 1928. In 2009 Tom Mackenzie, also a Scotsman, redesigned the course and made it more up-to-date. The challenging features besides the wind include the hollows surrounding many of the greens and the heavy rough.