The Hall was built in 1881 as a hunting box by Walter Marshall who left it to his sister, Eva Astley Paston Cooper. She was a socialite who gathered a salon including Noël Coward, Malcolm Sargent and Charles Scott-Moncrieff.

The hall has overlooked Rutland Water since the reservoir's construction in the 1970s.

The building was converted into a country house hotel in 1979/80 by Tim and Stefa Hart. The hotel has held a Michelin Star since 1982. Hambleton Hall has been named Luxury Hotel of the Year in The Good Hotel Guide, 2018.

Walter Gore Marshall was born in 1845 in London. His father was George Marshall who owned the large London shipping firm of George Marshall and Sons. He had five sisters and one brother.

George Marshall was born in Mustoe, County Durham, on 18 January 1802. On 23 February 1836, he married Elizabeth Helen Gore in Woodford, Essex. He was a ship owner with offices in Phillpot Lane in the City of London. He lived in London but, with his family growing up, he purchased Little Woodcote House, Beddington, Surrey. George and Walter also entered the shipping company George Marshall & Sons becoming partners. On retirement he and his wife moved to St Leonards in Sussex. He died there in 1877.

Walter was educated at Winchester College with his brother George and obtained his degree from Oxford. He eventually became a partner in his father's shipping firm with his brother George. In 1877 his father died and left a great deal of money a large part of which was inherited by Walter. Shortly after this he travelled to the US and wrote a book about his travels called Through America which is still frequently quoted by historians as an accurate description of the country at that time.

In 1881, Walter built Hambleton Hall but he remained unmarried. He participated in hunting with the Warwickshire, Cottesmore, Quorn, Belvoir or Fernie hounds. His friend Walter Robert Verney wrote the book called Annals of the Warwickshire Hunt which mentions Walter several times. Walter was also known to be very gregarious and attended many social events around the local area. He took a particular interest in the parish church of St Andrew in Hambleton and is credited with making major improvements to the building and purchasing the stained glass windows.

Later in his life, Walter became one of the directors of the Cannon Brewery Company and owned a large number of shares in this firm.

In 1899, while on a social visit to friends at Upton House, Banbury he contracted the flu. This was followed by pneumonia and shortly afterwards he died. A large funeral was held at St Andrew's, Hambleton and he was buried in the churchyard there. In his will he left Hambleton Hall and a large number of his shares to his youngest sister Evangeline Astley Cooper.