In 2003 a number of Madison area families committed to establishing a classical school rooted in the Catholic faith, and St. Ambrose Academy, Inc. was incorporated on February 13, 2003. The founding families sought to provide a school that placed at the forefront of its vision a profound love of Jesus Christ and his Church. St. Ambrose Academy was a response to their desire to place the education and formation of their children squarely in the context of the Catholic Faith. Blessed Pope John Paul II has taught that children are best served in an environment that presupposes humanity’s dignity and purpose, where the Faith infuses all academic disciplines. The late Holy Father’s vision of an integral education was the basis for the founders' vision of Catholic education.

The board of directors chose the National Association of Private Catholic and Independent Schools (NAPCIS) as its accrediting body, and full accreditation was accorded in 2009.

The school began in the Fall of 2003 with classrooms at a facility of Cardinal Stritch University with students in grades 7 through 10. In 2004, the Most Rev. Robert C. Morlino, recognized St. Ambrose Academy as a Catholic school, and pastor of  St. Thomas Aquinas Roman Catholic parish invited the school to make use of the parish's religious education wing at 602 Everglade Drive in Madison. Although lay run and operated independently of any parish, the school collaborates with the Diocese's Office of Schools.

In 2005, the middle school was extended to include sixth grade. In spring of 2006, St. Ambrose Academy had its first graduates from High School, one full time student and one part time student. The first students to complete the full high school program at St. Ambrose Academy were graduated in 2007. One graduate matriculated at Princeton University, while another entered the seminary for the Diocese of Madison. By 2011, 26 students have graduated from the high school.

With increasing enrollment, team sports were offered, with girls basketball in 2007, and boys basketball in 2008. In 2011 St. Ambrose Academy became a member of the Wisconsin Interscholastic Athletic Association (WIAA) and participated on a co-op 8-man football team with Madison's Abundant Life Christian School. Cross country teams were soon added.

In 2007 Bishop Morlino and students prepared dinner for over 200 guests at the first Christmas Dinner with the Bishop benefit.

In 2009, three consecrated women joined the staff, teaching mainly in the middle school.

In 2010 the Madison Plan Commission approved a conditional use permit for St. Thomas Aquinas Roman Catholic parish which will permit enrollment at that location of up to 140 students. In 2010-2011, Bishop Robert Morlino began teaching in the high school on a regular basis.

In 2011, enrollment reached 68 students in grades 6-12, with the largest ever incoming class. Approval from the federal government was received to enroll non-resident foreign nationals.