Concert Venues in Pensacola, FL Saenger Theatre - FL Where: 118 S Palafox, Pensacola, Florida - 32501 Events: 31 Vinyl Music Hall Where: 2 S. Palafox St., Pensacola, Florida - 32502 Events: 22 Pensacola Bay Center (formerly Pensacola Civic Center) Where: 201 E. Gregory St, Pensacola, Florida - 32501 Events: 3 Wild Greg's Saloon - Pensacola Where: 22 South Palafox St., Pensacola, Florida - 32502 Events: 2 Olive Baptist Church - FL Where: 1836 East Olive Road, Pensacola, Florida - 32514 Events: 1