When D.P. Davis was planning his $3 million Davis Islands in 1925, one of the intentions was to make Tampa the winter sports center of the nation. The Davis Islands Sports Club, a members-only club, was in the Marjorie Park area on the island’s east side. He also built a golf course, tennis club, and this “Roman” swimming pool. He called the pool an “admirable touch of Mediterranean grandeur generously devised to furnish an advanced degree of comfort; a natatorium gem of rare beauty so entrancing as to captivate all lovers of the sport" in promotional materials. Davis died in 1926 on a transatlantic voyage and never saw the project completed. Built for $75,000, it did not open until 1929 but was immediately popular and remained so as the Florida land bust and the Great Depression took their toll in the early 1930s.

In 1964 the city council renamed the facility for Roy E. Jenkins, a veteran swimming coach and swim meet official who had recently died. The pool continued its tradition of hosting swim meets and cooling off Tampa residents until 2008, when it closed after a new federal drowning prevention law requiring the installation of a drain cover went into effect. It was the start of the Great Recession, and there was little money to pay for repairs. In 2010, the city council designated the pool a local landmark but plans for a repair languished. In 2011, there was a $4 million proposal to fix the pool and bring it into ADA compliance. In the end, the city paid $2.5 million for the renovation, and the Davis Islands Civic Association pitched in $500,000. After six years of financial wrangling and construction, the pool reopened in 2014.