This street has been said to derive its name from William Berry, who at the time of his death in 1735 was described as 'a half pay Officer, and Landlord of most of Berry Street St. James's. He was above 100 years old.

Despite this lore, It appears more likely that the name of the street was derived from Bury St. Edmunds. Rushbrooke, the country seat of the Jermyn family, was near that town, and from 1643 until his advancement to an earldom in 1660, St. Albans was Baron Jermyn of St. Edmundsbury.

All of the ground on both sides of Bury Street formed part of the land leased in 1661 by Henrietta Maria's trustees to the Earl of St. Albans's trustees to 1740. On 1 July 1671 the Earl's trustees granted twenty sub-leases of plots fronting Bury Street for terms of forty-four or forty-five years. In 1672 and 1673 they granted a further ten sub-leases.

In 1720 Strype described Bury Street as 'a handsome open Street' and mentioned two courts opening out of it-Painter's Court (later Dolphin Court) on the west, and Guy of Warwick's Court (probably named after an inn of that name) on the east. An advertisement in the Daily Courant of 10 May 1723 describes the amenities of one of the houses in the street at that time: 'To be Sold, A House in Berry-street, of two Rooms and a large Closet on a Floor, with a Wash-house, Woodhouse, and other Conveniences out of Doors, in a handsome Garden encompassed with several others, which makes it both airy, healthy and pleasant; nor is it less valuable for the Commodiousness of the Situation, being near St. James's Church, Chapel, Park, Palace, Coffee and Chocolate Houses.'

In a letter dated 23 February 1755 Horace Walpole describes a fire in Bury Street. 'I am at present confined with a cold, which I caught by going to a fire in the middle of the night, and in the middle of the snow, two days ago. About five in the morning Harry waked me with a candle in his hand, and cried, "Pray, your honour, don't be frightened!"-"No, Harry, I am not: but what is it that I am not to be frightened at ?"-"There is a great fire here in St. James's Street."-I rose, and indeed thought all St. James's Street was on fire, but it proved in Bury Street. However, you know I can't resist going to a fire; for it is certainly the only horrid sight that is fine. I slipped on my slippers, and an embroidered suit that hung on the chair, and ran to Bury Street, and stepped into a pipe that was broken up for water.-It would have made a picture-the horror of the flames, the snow, the day breaking with difficulty through so foul a night, and my figure, party per pale, mud and gold. . . . There were two houses burnt, and a poor maid. And officer jumped out of window, and is much hurt, and two young beauties were conveyed out the same way in their shifts.'

The freehold of the whole of Bury Street still belongs to the Crown, and all the existing buildings have been erected during the course of the last hundred years.