Panjim Gymkhana owes it’s existence to the late sports enthusiast and the first Chief Minister of Goa, Daman & Diu; Shri. Dayanand Balkrishna Bandodkar – popularly known as Bhau. Bandodkar was dedicated to and inspired by sports and therefore, on April 12, 1963, the germination of a new sports complex in Panaji took place, through a petition signed by 24 prominent citizens (who were signatories for the same), at his residence in Altinho. The cricket ground was established by Bhau himself in 1955 but the hall for Panjim Gymkhana was set up in 1968.

The Panjim Gymkhana conducts Bandodkar Trophy cricket tournaments annually which is fully supported by the Bandodkar Group. The tennis courts at the Gymkhana have also been sponsored by the group over the years. The brand new courts were reconstructed and commissioned in 2018.