The Leicestershire Mercury was founded in 1836 by printer Albert Cockshaw as a weekly publication. It initially cost 7d but the price was quickly reduced to 4d with the reduction of the stamp duty. Cockshaw also edited the paper and his views are strongly reflected in it. He was a radical who advocated suffrage reform and the abolition of slavery. Thomas Cooper, the Leicester Chartist leader, was on the payroll of the Mercury for a short time. As a staunch non-conformist, Cockshaw supported the disestablishment of the Church of England and the abolition of the Church rate. He was constantly at loggerheads with the Leicester Corporation and had been charged with libel against the Mayor and the town magistrates in 1835. The charges brought on behalf of the Corporation were eventually dismissed.

Cockshaw went bankrupt and by 1843 the Mercury was owned by printer John Burton. It remained the organ of local dissenters and supported complete suffrage and free trade. In 1850 Burton sold his share to his former partner G. Smallfield who then sold his interest to hosiery manufacturers the Biggs family.

In October 1864 the radical Liberal Mercury merged with the more moderate Liberal Leicester Chronicle owned by James Thompson. The paper became the Leicester Chronicle and Leicestershire Mercury.