Sir Arthur Conan Doyle created the detective in 1887 while living in Southsea, Portsmouth, where he was working as a GP.
The author lived at 1 Bush Villas where he turned to writing to earn a living because of a lack of patients as he set up his own surgery.
The first appearance of Holmes was in A Study in Scarlet which was featured in the Beeton's 1887 Christmas Annual.
Only a few first edition copies of the annual still exist and Portsmouth's copy will go on display this weekend at the City Museum.
The rare item is part of the world's largest private collection of Conan Doyle books and memorabilia which was donated to the Hampshire city by collector and writer Richard Lancelyn Green.
Stephen Fry, TV personality and patron of the Arthur Conan Doyle Collection Lancelyn Green Bequest, said "One hundred and twenty five years of the world's most recognisable, enduring and influential detective. A century and a quarter of Sherlock Holmes.
"When Doctor John Watson, having been invalided out of the war in Afghanistan, found himself drifting towards Piccadilly Circus in London 'that great cesspool into which all the idlers and loungers of the Empire are irresistibly drained' he little knew that a chance encounter with an old army friend in the Criterion Bar would lead him to the great meeting with one he would later describe as 'the best and wisest man whom I have ever known'.
"Holmes is imperishable. Sometimes his reality, manners, traits, habits, turns of phrase, style of dress, his violin, cocaine, tobacco, deerstalker and magnifying glass obscure the achievements of Sir Arthur Conan Doyle, a man quite as remarkable as his best known creation.
"It is Conan Doyle we honour, thank and remember. The collection of his papers in Portsmouth is a fabulous treasure that Sherlockians, admirers of Doyle's writing and those curious to find out more are grateful to know exists.
"It is carefully and professionally curated in the town for whose football club he once played in goal.
"So raise a glass to the greatness of Doyle and the eternal glory of Sherlock Holmes, ushered into this world 125 years ago."
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