The first step to construct this avenue was taken during the temporary military occupation of the US in 1901, following the end of Cuba's war for independence from Spain. The appointed US military governor, the Major General Leonard Wood, entrusted the engineers Mead and his assistant Whitney to build the first stage of the avenue, starting from the Castillo de San Salvador de la Punta. It was aimed at the protection of the seaside of Havana from the effects of the sea, like the flood of the ocean and big waves. Until 1902, only the first 500 meters of the avenue was completed, reaching the corner of the Crespo street. A roundabout with a gazebo was constructed for the municipal band at the intersection of the Paseo del Prado (current Paseo de Martí) to entertain the area with Cuban music within the celebration of the new avenue every Sunday. This roundabout with gazebo that is the first construction in Cuba made of reinforced concrete and steel rebar, was demolished in 1926, when the construction of the Avenida del Puerto began, as it was blocking the traffic considerably. Upon the increase in the popularity of the place, an exclusive hotel, Hotel Miramar, was built at the same corner in 1903 that doesn’t exist today. The hotel and its restaurant, where for the first time in Havana the waiters wore tuxedos (dinner jackets) and gold-buttoned waistcoats, were very famous during the first 15 years of the Republic. Its owner was also the owner of another hotel in Havana, the Telégrafo. On its lot a new hotel, the Hotel Prado y Malecón, is on the construction today that is expected to be put in service in 2020.

The construction team posed many difficulties due to the irregular reefs that required excessive use of cement as filling material. The North American company intended to plant trees and to erect beautiful lampposts along the avenue, but the big waves during the winter, beating on the reefs, led to cancel this intention.

In 1909, the construction reached the Belascoaín street (current Padre Varela street), but it was necessary to fill the cove of San Lázaro in front of the current Hermanos Ameijeiras Hospital to extend the road further to west. After the filling operation that lasted for three years, the avenue was carried to the Torreôn de San Lázarro. However, the cyclone in 1916 threw huge pieces of concrete from the filled area that damaged the buildings nearby. Consequently, some engineers considered the construction of Malecón responsible for the destruction. Although the avenue between the Torreôn de San Lázarro and the 23. street was completed in 1921, the section in front of the cove of San Lázarro couldn’t be reconstructed until 1923.

The promontory of the Loma Tanganana (Hill of Tanganana)  on which the Batería de Santa Clara was deployed (on that plot Hotel Nacional de Cuba stands today), was complicating the construction of the avenue, so that a large area of the sea of about 100.000 m2 was filled between the O street and the 23th street and the obtained ground was dedicated to the construction of Malecón, as well as the Monumento al Maine in 1923. Thus, the avenue could extend from the Castillo de San Salvador de la Punta to the corners of K and L streets, an area approximately where the US Embassy stands today. For several years the construction process of the west part of Malecón was intercepted, as the government gave weight to the prolongation of Malecón to the south, up to the Castillo de la Real Fuerza to be able to access the port from Vedado (from Centro Habana) easily.

According the project to prolong Malecón to south, about 110.000 m2 of the sea had to be filled and the obtained area was allocated to the avenue, as well as to the parks (current Parque Luz Caballero and Parque Céspedes). The construction of the avenue was undertaken by the contractor firm Arellano y Mendoza at a cost of about 2 million pesos. It is estimated that the filling of the sea costed additional one million pesos. The construction of this section began in 1926 and was completed in 1929.

At every 2,5 meters reinforced concrete sheet piles were driven to the ground, forming two rows along the road. The ground between the sheet piles was augmented by reinforced concrete on which large hollow blocks of reinforced concrete were placed. These blocks had an area of 4 x 5 meters on average and a height of 2 meters. They were placed on a base filled with concrete cement and augmented by sheet piles. The blocks were prefabricated in a plant in Ensenada de Guasabacoa (Cove of Guasabacoa; one of the two big coves of the Havana Bay). During the construction of this section about 17 thousand tons of Portland cement, about 22 thousand m3 of sand, about 45 thousand m3 of pebble and about 4 thousand tons of steel bars were used.

The prolongation of the Malecón to the west resumed in the time of Carlos Miguel de Céspedes, the Minister of Public Works, and the avenue reached the G street (current Avenida de los Presidentes) in 1930. After a long discontinuance, in 1955 the avenue reached the Avenida Paseo, where the Fuente de la Juventud stays today. At the beginning of 1950s, it was intended to extend Malecón until the corner of 12th street that corresponds to the point where the Almendares river meet the sea and to construct a suspension bridge between there and the Avenida Primera, where it intersects with the O street today. In 1955 the Hotel Rosita de Hornedo was built at this place. It was a hotel that was exposed to a terrorist attack by the DRE militants (Directorio Revolucinario Estudentil) under the command of the CIA agent José Basulto in 1962. The hotel’s name changed to Hotel Sierra Maestra later. Towards the end of 1950s, the thought to go beyond the Almendaras river by a tunnel below its bed outweighed, so that the Pote bridge, named after the millionaire José López Rodríguez, nicknamed Pote, that was linking the Calzada street to the west of the Almendares river, was demolished and the Calzada tunnel that connected the fifth Avenue with Malecón, was constructed. The Calzada tunnel was completed in 16 months, being inaugurated in 1959. The contractor firm was the French Grands Travaux de Marseille, the company that also built the tunnel underneath the Bay of Havana.

Since 1960, Malecón suffered many hurricanes. The flood and the strong waves undermined several sections of Malecón, wafting heavy rocks onto the avenue, but immediate repair was carried out by injecting thousands of m3 of hydraulic cement to occlude the parts eroded or perforated by the sea water.