The first Milford Haven sports were held on Whit Monday 1889 and the bicycle events were 1 mile scratch and 2 miles handicap races. The early sports were held "in a field kindly lent for the event by James Williams." The venue was reported as "contiguous to the town." The attendance at the sports was usually reported to be very good.
The Whit Monday sports continued all through the 1890's and several thousand people attended the 1896 event, which was a financial success. The Royal Antediluvian Order of Buffaloes were organising the annual sports by 1900 and in 1902 the bicycle events had been extended to include a 1 mile local race and a 3 miles scratch.
The Milford Haven Football Club organised the annual sports from 1909 at their Priory Road ground. In 1910 they held the sports to reduce their financial deficit, but the sports were very poorly supported and the club made a loss. In 1913 the Milford Haven Chamber of trade were organising the sports. The last Milford Haven sports were held in 1914.