On July 26, 1882, the 70-year-old Liszt, who attended the premiere of the Bühnenweihfestspiel Parsifal (in three acts) at the Bayreuth Festspielhaus, became such an ardent Wagnerian that he appeared at the subsequent four performances and rehearsals. During this time, in Bayreuth, Solemn March to the Holy Grail, Liszt's final piano transcription of a Wagner work, was completed. The manuscript was sent to Schott in Mainz on September 16 of the same year and published in December 1883. It was also published by Lucca in Milan around the same time or shortly thereafter.

This transcription, which Liszt completed in just over a week, uses several fragmentary motives from Act I of the original Parsifal, such as the "Bell motive" and the "Grail motive," but these are never developed or expanded upon. Furthermore, the tonality is ambiguous, rarely reaching a tonic chord. This style is reminiscent of Liszt's own late piano pieces (e.g., Unlucky (after 1880), Grey Clouds (1881), At the Grave of Richard Wagner (1883)), and rather than being a mere transcription of Parsifal, it exhibits a high degree of originality, almost as if it were an original piano composition by Liszt.

The premiere of the transcription took place shortly after its completion, on September 29, 1882, in Weimar, performed by Liszt's then 18-year-old pupil,Eugen d'Albert(1864-1932). d'Albert was a participant in Liszt's piano masterclasses, which the latter held in his later years in three cities: Weimar, Budapest, and Rome. He subsequently became active as a pianist and composer, primarily in Germany.