Image courtesy the Steinway Hall Wikipedia page.
Chicago Magic blog. While focusing on stage magic, there is definitely information of interest.
Cinema Treasures website.
The 850-seat theater in the building originally was a branch of Ziegfeld's theaters (while the Follies were taking off in New York, Flo Ziegfeld was originally from Chicago). The theater was home to acts such as Sophie Tucker and Fatty Arbuckle. In 1915 the theater's name was changed and Shakespearean plays were produced.
Charles Leadbeater lectured on a variety of subjects relating to the occult and Theosophy. Leadbeater, having just arrived from England, packed the theater to the extent that would-be listeners regularly had to be turned away at the door. His lectures here in Chicago would be published as the book Some Glimpses of Occultism Ancient and Modern.
In 1941, after the schism of C.F. Russell's Choronzon Club, one of the splinter groups housed itself at Steinway Hall (practically around the corner from the Fine Arts Building where they had previously met). They would remain here until the 1960s, when they would return to the Fine Arts Building. For more information on this, please visit my previous post regarding C.F. Russell and the Fine Arts Building.
Around this time the theater was being used to show adult movies. Public sentiment had swayed against the building, and it was demolished on April 5, 1970. Apparently it was written in the Chicago Tribune that “Few, if any, will mourn it.”
In its place, we now have a parking lot.