Mayfair itself is named after the infamous fifteen-day fair that took place on the site that is Shepherd Market today, and which was banned in 1708 due to the fair's revellers' relentless boisterousness and disorder. A local architect and developer (Edward Shepherd), was commissioned to develop the site after the banning of the fair, and it was completed in the mid 18th century, with paved alleys, a duck pond, and a two-storey market, topped with a theatre. The theatre was opened in the month of May, and attracted a much higher class of visitor than the noisy, unruly fair beforehand.

Nowadays, Shepherd Market is better known for its chic boutiques, intimate little restaurants and impressive Victorian pubs.