When The Pennington School (then the Methodist Episcopal Male Seminary) opened its doors in 1838 in the small town of Pennington, New Jersey, the school was housed in one building and enrolled three students under the tutelage of one teacher.

The New Jersey Conference of the Methodist Church, which founded the school, chose the site for its rural setting, which it believed conducive to health and learning. Early on, the founders identified three guiding principles: "the education of the physical, the training of the mental, and the grounding of the soul in character." Their principles reflected the vision of John Wesley, the founder of Methodism, who envisioned schools as places that cared for the whole individual; central to this philosophy was the belief that the real purpose of education is not just to fill students with information but to enable them to think.

Through the early years the School was blessed with a series of dedicated presidents and headmasters, as well as the support of the church. It steadily grew in enrollment with the addition of residence halls and classrooms to the main building, an administration building, Shaw Memorial Chapel, and a gymnasium and pool.