A groundbreaking ceremony was held on September 27, 2018, and was attended by approximately 300 people, including Las Vegas Sands' Sheldon Adelson and Nevada governor Brian Sandoval. In November 2018, it was reported that the MSG Sphere would be built along with new bars, private suites, a museum and retail space. AECOM began working on the site in February 2019, through a preliminary agreement. AECOM had worked on several other stadiums, including the T-Mobile Arena in Las Vegas. Excavation was underway in March 2019. Approximately 110,000 cubic yards (84,000 m3) of dirt and caliche were excavated to prepare the site for construction. AECOM was named as the general contractor in June 2019. The project had 400 construction workers. This number was expected to eventually reach a peak of 1,500. Construction of the basement was underway in July 2019.

By October 2019, construction crews had completed the 80,000 sq ft (7,400 m2) basement as well as the first ground level of the venue. The basement area will be used as public space for events. Excavation went as deep as 21 feet (6.4 m) for construction of the basement. In December 2019, the spherical structure reached 65 feet (20 m) in height with the completion of a fourth level, out of eight above-ground floors.

In February 2020, the world's fourth-largest crane, a Demag CC-8800 crawler crane, was set up on the site's northeast side for the purpose of lifting heavy construction materials. The crane is capable of standing up to 580 feet (180 m). In a disassembled state, the crane was transported across the Atlantic Ocean from Zeebrugge, Belgium to Port Hueneme, California. The crane then required 120 tractor-trailers to transport it to Las Vegas. A separate crane was required to assemble the main crane, a process which took 18 days. In March 2020, construction reached the widest point of the spherical structure, the 516-foot (157 m) diameter, located at the sixth level and 108 feet (33 m) above ground.

The project had been scheduled to open in 2021. However, MSG announced on March 31, 2020, that construction would be suspended due to the COVID-19 pandemic. The project experienced a disruption in its supply chain, a result of the pandemic, and this hindered construction progress. All construction work on the project was expected to come to a stop over the next two weeks following the announcement. In August 2020, MSG Entertainment announced that construction had resumed on the project, with the opening rescheduled for 2023. Over the subsequent 15 months, construction would be focused on concrete, followed by steel erection and then the 13,000-ton steel-domed roof, the most complex part of the project. In October 2020, crews completed the heaviest lift up to that point, with the installation of two 240-ton steel girders.

MSG took over as general contractor in December 2020, although AECOM continued to provide support. A 170-ton steel compression ring was added in February 2021, marking the heaviest lift of the entire project. Due to its size, the ring had to be assembled at the construction site. Work crews spent three weeks welding and bolting the prefabricated steel pieces together, and the crane was then used to lift the ring into place.