The club was founded in December 1922 under the name Cunha Foot-Ball Club, because the club's first member was called Joaquim Cunha and the club's headquarters were located in the store he owned, on Rua de Campo de Ourique . CACO's first activities were cycling and football. In the 1930s, volleyball, basketball, roller hockey, gymnastics, shooting, skating and a boxing section appeared. At the end of the 1950s, a handball section was created and, in 1974, judo joined.
In cycling, the Club achieved important achievements in the 1920s, 1930s and 1940s, including the figures of Quirino de Oliveira, João Francisco, José Braz, José Marquez and, in 1935, the team victory in the VI Tour of Portugal . In addition to sporting results, CACO was the organizer of the Volta a Portugal in 1940 and 1941.
The rink for practicing roller hockey was inaugurated in December 1939, and the activity became the ex-libris of CACO, with a first victory in 1951 (Lisbon Champion of I Division), winning the title of Champion Nacional in 1954 and the Teresa Herrera Trophy (former European champions' cup) in 1955. Good sporting results were also achieved in handball, with emphasis on, in the years 1982 and 1983, the winning of two Portuguese Cups and a Super Cup by the team. feminine.