The club was established in the year 1991 by the three club Alliance Dudelange, Stade Dudelange as well as US Dudelange. The three clubs had all been winners of their respective National Division or the Luxembourg Cup previously, but all had experienced a downturn and the merged club was believed to have more stability in both a financial and a sporting financial aspect.
Making the club a title-winning team took quite a while. Stade Dudelange and US Dudelange were both in Luxembourg's third division (the 1. Division) while Alliance Dudelange was struggling to remain in the second league (the Division of Honour). A new Club would join Alliance within the Division of Honour in the 1991-92 season.
F91 was promoted during the first season and quickly established itself as a top-flight squad that was capable of never finishing outside the top ten until 1996-97. At the end of the 90s Dudelange slowly improved and ended Jeunesse Esch's dominance with a rout to win the 1999-00 league title with eleven points.
In the 2004-05 season, Dudelange won the title and participated for the UEFA Champions League for the 2005-06 season. In the tournament, Dudelange was the first club in the history of Luxembourg to reach the second round of qualification following a stunning victory against NK Zrinjski (they lost 0-1 at home in the opening leg, and in the second match they scored a goal in the third minute of stoppage time to draw level in aggregate, and scored three goals in the extra time). But, Dudelange lost easily to Rapid Wien in the second qualifying round.
As of the season 2005/06, Dudelange finished the cup and league Double in the debut season since the merging. The team repeated the feat again in the 2006-07 season and took home a fourth straight National Division title in 2007-08.
As part of the 2012-13 UEFA Champions League, F91 Dudelange defeated Tre Penne 11-0 on aggregate which earned them a spot to play Austrian champion Red Bull Salzburg in the second round. They beat Salzburg by 1-0 in Luxemburg and then were defeated 3-4 in Salzburg and won the tie based on the rule of away goals. The first time ever in the history of the club, Dudelange qualified for the third round of the competition where they were defeated 5-1 by Maribor.
In 2013-14, Dudelange won the title by winning 3-1 win against Fola Esch on the final day of the season. The result earned the club an invitation to this year's UEFA Champions League.
In the year 2018, F91 Dudelange became the first Luxembourgish team to make it to in the first round of an important European competitionafter they defeated CFR Cluj 5-2 on aggregate in the UEFA Europa League play-off round. Due to Dudelange's perceived inevitability, the daily newspaper Gazeta Sporturilor described CFR's demise as "the greatest shambles ever in Romanian soccer". Dudelange had previously defeated Polish team Legia Warsaw in the third qualifying round. The team who hail from Dudelange in the Grand Duchy were drawn into the "Group of Death', containing European giants Milan, Olympiakos and Spanish side Real Betis. The Luxembourgers have, however, manage to score the coveted and hard-fought win on the final day of the match in which they were drew 1-1 against Real Betis at the Stade Josy Barthel.
In 2019 Dudelange was selected to Dudelange's place in Europa League group stages for the second time in succession after beating FC Ararat-Armenia the play-off round of the penalty shootout.
Dudelange did much better in Their 2nd European group stage game and were able to join an alliance with Europa League stalwarts Sevilla, Cypriot champions APOEL and Qarabag of Azerbaijan.
On the group stage's first matchday on 19 September 2019 Dudelange was the very first team of Luxembourg that won a match in the European group stage, after defeating APOEL with a 4-3 win in Nicosia. Dudelange with coach Emilio Ferrera had resigned only two days before and was able to come back from a 3-1 deficit to beat the Cypriots.
After losing their subsequent four group matches Dudelange played Qarabag on the final day of play in Baku which they were just two minutes away from registering another win that was renowned, but the Azeri team scored a draw in injury time, and the players from Luxembourg were unable to finish top of their group with an impressive 4 points.