Depiction in the series
The gala is first mentioned in The Ticket Master. None of the main ponies had ever attended before, and they each describe to Twilight Sparkle how they'd spend their time at the gala. Pinkie Pie believes it is the single biggest party in all of Equestria, filled with snacks, decorations, and party games. Rainbow Dash proclaims that the Wonderbolts perform every year and imagines herself performing with them. Fluttershy says that all the flowers in Canterlot's private garden are in bloom during the night of the event, with some of the most exotic avian wildlife in Equestria present. Rarity mentions that every year she designs dress attire for clients who have been invited to the Gala; the plot of the episode Suited For Success revolves around Rarity designing gowns for the Gala for her friends. She says she hopes to meet a prince there, believing they will fall in love and marry. Twilight thinks it will be an opportunity to meet with Princess Celestia and talk about her adventures in Ponyville. Applejack claims the Gala will be the perfect place to sell her apple-based homemade food so she can use the money to fix the roof on her barn, Big McIntosh's plow and Granny Smith's hip. Finally, Spike claims that he "wants no part of this girly Gala gunk", and pretends to be disdainful about the ticket that Celestia gives him.Several episodes later, in The Best Night Ever, all of the Mane 6's expectations are crushed: Pinkie Pie is let down by the lack of partying; Rainbow Dash, though she does get to meet the Wonderbolts, she doesn't get to perform with them or spend much time with them; Fluttershy explores the private garden but fails to befriend the animals, causing her to snap and start terrorizing them; Rarity meets a prince, Prince Blueblood, but although he looks exactly like the one in her imagination, he is very snobbish and offputting; Twilight meets the princess, but finds she is busy greeting all the gala goers; and Applejack sets up a food stand but only makes a single sale in the entire night.
The main six ponies attempt to make it special in their own way, only to have everything literally fall apart and the party descend into total chaos, causing the Mane 6 to run away. As they rue their 'Worst Night Ever' in Donut Joe's shop, Princess Celestia arrives and states that she finds the gala to be "awful" every year, and that they had made the Gala livelier with their involvement.
In Sweet and Elite, Twilight Sparkle notes that the Grand Galloping Gala was coming up soon.
According to the iOS app Twilight Sparkle: Teacher for a Day, the Grand Galloping Gala originated when the unicorns celebrated the completion of the construction of Canterlot and invited the other ponies to a huge party, which was greatly enjoyed by all. The party is therefore organized once every year ever since then, and continues presently.
One of the stories in the French magazine is about the Gala, albeit does not follow the same continuity as the television series.
WeLoveFine's descriptions of their formerly available men's T-shirt and hoodie "Magnet Pony" mention the Gala. The "Magnet Pony", whom is actually a fan-made pony version of the X-Men character Magneto, is based on an inside joke by a group of bronies whom were inspired by an advert that randomly appeared on a notable live-stream of The Best Night Ever when it made its debut airing.
On the official My Little Pony Twitter and Facebook pages, the Gala apparently takes place on New Year's Eve.