Melbourne Victory were founded in 2004 after the announcement of a revamped domestic league in Australia, which saw the National Soccer League disbanded in 2004 and replaced by the A-League. The Victory replaced Victorian teams South Melbourne FC and Melbourne Knights who had competed in the NSL. Archie Thompson, a current Socceroo who had been playing in Belgium with Lierse S.K., was the club's first player signing. The club soon signed three more internationals for the inaugural squad - Socceroo Kevin Muscat, Austrian Richard Kitzbichler and Belgian Geoffrey Claeys. The remainder of the squad was quickly assembled, although room was left for signings before Melbourne played its first competitive match against Adelaide United in a World Club Championship qualifier.

Melbourne Victory had an up and down first season and finished as the worst placed Australian team ahead of only the New Zealand Knights. Melbourne began the 2006-2007 Hyundai A-League season hoping to vastly improve on their 7th place and moved from Olympic Park to Telstra Dome. The Victory had a markedly better 2nd season claiming not only the Premiership but also ending up with a 6-0 Grand Final victory over Adelaide United.

Season 3 - 2007-08 could not hope to be as succesful as the previous season and after a great start being undefeated after 7 rounds the Victory slipped away to finish 5th and out of the finals.

Season 4 - 2008/09 saw the start of the A-League Youth League and the introduction of the Women's W-League. Melbourne fielded teams in both competitions. Melbourne strengthened their squad from the previous season, bringing in Socceroo Michael Thwaite, Costa Rican World Cup player Jose Luis Lopez and Ney Fabiano from Asian Champions League rivals Chonburi FC. Melbourne's season got off to a flying start when they won the Pre-Season Challenge Cup in a penalty shoot-out following a 0–0 draw. Victory won the shoot-out 8-7 against Wellington Phoenix. In the A-league proper, the Victory were held to a 0-0 draw away against Sydney FC. They reinforced their premiership credentials by easily beating Wellington Phoenix 4-2 and then Newcastle Jets 5-0. The start of December saw Melbourne passing the 1,000,000 crowd figure mark becoming the 1st A-League club to reach this milestone. Melbourne Victory won its final game of the season against Wellington Phoenix 2-0. This win meant Victory stayed ahead of Adelaide United on goals scored for the premiership title, with both teams sharing the same number of points and goal difference. In the finals series Victory first beat Adealide United in the major semi-final first leg 2-0, before overrunning them in the second leg 4–0. In the Grand Final Victory again beat Adelaide United but this time only 1–0 to regain the A-League Championship and become the fist A-League team to win their 2nd Championship.