The name "Mayfair" was itself derived from the 15-day fair that took place on the site that is now Shepherd Market. The fair was banned in 1708 due to disturbances. Subsequently, the local architect and developer, Edward Shepherd, was commissioned to develop the site during 1735–46. The development included paved alleys, a duck pond, a two-storey market, and a theatre — hence the name "Shepherd Market", after the developer and the market that he developed there.
During the 1920s, Shepherd Market became a fashionable address. The writer Michael Arlen rented rooms opposite The Grapes public house and used Shepherd Market as the setting for his 1924 novel The Green Hat. The book become a hit Broadway play and a film starring Greta Garbo.
Nowadays, Shepherd Market is better known for its chic boutiques, intimate little restaurants and impressive Victorian pubs. For example,
The nearest underground station is Green Park, to the east.