Located between Swanston and Russell streets and extending south from Little Collins Street, this lane was named in 1937 after the Melbourne Athenaeum, a cultural institution founded in 1839 and onto which Athenaeum Place backs. The Melbourne Athenaeum, situated at 188 Collins Street, is home to an entertainment venue, a library and a bistro. Prior to 1937, this lane was known as Sleights Lane, after a Melbourne undertaker.
In February 1894, Inspector of Nuisances at the City of Melbourne Richard Bullons was called to investigate a litter matter in this lane. According to Bullons, employees and boarders of the nearby Victoria Coffee Palace were 'in the habit of throwing down from the windows and platform of the building filth of every description which falls onto the closets and urinals [situated] in north-east corner of the Town Hall'.