The company was founded on January 6, 1914, when Charles E. Merrill opened Charles E. Merrill & Co. for business at 7 Wall Street in New York City. A few months later, Merrill's friend, Edmund C. Lynch, joined him, and in 1915 the name was officially changed to Merrill, Lynch & Co. At that time, the firm's name included a comma between Merrill and Lynch, which was dropped in 1938 In 1916, Winthrop H. Smith joined the firm.

In 1921, the company purchased Pathé Exchange, which later became RKO Pictures. In 1926, the firm acquired a controlling interest in Safeway Inc., transforming the small grocery store into the country's third largest grocery store chain by the early 1930s.

In 1930, Charles E. Merrill led the firm through a major restructuring, spinning-off the company's retail brokerage business to E. A. Pierce & Co. to focus on investment banking. Along with the business, Merrill also transferred the bulk of its employees, including Edmund C. Lynch and Winthrop H. Smith. Charles Merrill received a minority interest in E.A. Pierce in the transaction. Throughout the 1930s, E.A. Pierce remained the largest brokerage in the U.S. The firm, led by Edward A. Pierce, Edmund Lynch and Winthrop Smith proved to be one of the most innovative in the industry, introducing IBM machines into the business' record keeping. Additionally, by 1938, E.A. Pierce controlled the largest wire network with a private network of over 23,000 miles of telegraph wires. These wires were typically used for orders.

Despite its strong position in the market, E.A. Pierce was struggling financially in the 1930s and was thinly capitalized. Following the death of Edmund C. Lynch in 1938, Winthrop Smith began discussions with Charles E. Merrill, who owned a minority interest in E.A. Pierce about a possible merger of the two firms. On April 1, 1940, Merrill Lynch, merged with Edward A. Pierce's E. A. Pierce & Co. and Cassatt & Co., a Philadelphia-based brokerage firm in which both Merrill Lynch and E.A. Pierce held an interest. and was briefly known as Merrill Lynch, E. A. Pierce, and Cassatt. The company became the first on Wall Street to publish an annual fiscal report in 1941.