The Consulate-General of Malaysia in the Hong Kong SAR was established since 2 July 1971. It was known as the "Commission of Malaysia" before the establishment of the Hong Kong Special Administrative Region (SAR) housed at the 25th Floor of Comfort Building, Connaught Road. On 2 June 1980, the Commission of Malaysia relocated to its current location at No. 50 Gloucester Road, Wanchai after the Malaysian Government acquired its own building, naming it "Malaysia Building".
Besides the Consulate-General of Malaysia, other Malaysian agencies operating in the same building include the Immigration Department of Malaysia, the Malaysia Tourism Promotion Board (Tourism Malaysia) and the Malaysia External Trade Development Corporation (MATRADE).