Answer by taking a quote from the following article:

The Grand Ole Opry is a weekly country-music stage concert in Nashville, Tennessee, which was founded on November 28, 1925, by George D. Hay as a one-hour radio "barn dance" on WSM. Currently owned and operated by Opry Entertainment (a division of Ryman Hospitality Properties, Inc.), it is the longest-running radio broadcast in US history. Dedicated to honoring country music and its history, the Opry showcases a mix of famous singers and contemporary chart-toppers performing country, bluegrass, Americana, folk, gospel, and comedic performances and skits. It attracts hundreds of thousands of visitors from around the world and millions of radio and Internet listeners.

The Grand Ole Opry started as the WSM Barn Dance in the new fifth-floor radio studio of the National Life & Accident Insurance Company in downtown Nashville on November 28, 1925. On October 18, 1925, management began a program featuring "Dr. Humphrey Bate and his string quartet of old-time musicians." On November 2, WSM hired long-time announcer and program director George D. "Judge" Hay, an enterprising pioneer from the National Barn Dance program at WLS in Chicago, who was also named the most popular radio announcer in America as a result of his radio work with both WLS and WMC in Memphis, Tennessee. Hay launched the WSM Barn Dance with 77-year-old fiddler Uncle Jimmy Thompson on November 28, 1925, which is celebrated as the birth date of the Grand Ole Opry.  Some of the bands regularly on the show during its early days included Bill Monroe, the Possum Hunters (with Dr. Humphrey Bate), the Fruit Jar Drinkers with Uncle Dave Macon, the Crook Brothers, the Binkley Brothers' Dixie Clodhoppers, Sid Harkreader, Deford Bailey, Fiddlin' Arthur Smith, and the Gully Jumpers.  Judge Hay, however, liked the Fruit Jar Drinkers and asked them to appear last on each show because he wanted to always close each segment with "red hot fiddle playing". They were the second band accepted on Barn Dance, with the Crook Brothers being the first. When the Opry began having square dancers on the show, the Fruit Jar Drinkers always played for them. In 1926, Uncle Dave Macon, a Tennessee banjo player who had recorded several songs and toured the vaudeville circuit, became its first real star.

How did the Grand Ole Opry begin?
The Grand Ole Opry started as the WSM Barn Dance in the new fifth-floor radio studio of the National Life & Accident Insurance Company in downtown Nashville