The first record of the establishment of the Band was about 1795, and later in the Royal United services Journal for June 1831, referring to The Mounted Band of The Life Guards, it says, "After saluting and marching past the King, 'God Save the King' was played on the Russian Chromatic Trumpets..." these being the instruments used by the Band at that time.

The trumpets had only one valve and were the forerunner of the three valve trumpet in use today. Traditionally a trumpeter from within the Band is on duty 24 hours a day to sound the same calls that were played when the regiment was first formed. Every person in the Household Cavalry Mounted Regiment is expected to know the calls and the times they are sounded.

From 1820 to 1905 the Band was under the direction of Bandmasters (Warrant Officers). From 1905 the Senior Bandmaster of the three Household Cavalry Regiments, C.W.H Hall, was commissioned Lieutenant to the Second Regiment of Life Guards and was their first Director of Music. He retired in 1922 when the 1^st and 2^nd Life Guards were amalgamated and was followed by: