The corner site was previously occupied by a fish and chip shop and nightclub. A branch of Pret a Manger opened in the new building on the site.
Culture secretary Sajid Javid last month granted scheduled monument status to the remains after an application by Dr Chris Constable, Southwark Council's in-house archaeologist.
Scheduled status is given to monuments believed to be of "national importance".
The bath house is described as a "high status masonry building" dating from the 2nd century.
As well as the Roman bath house remains, the site also includes medieval chalk piers which could be part of the precincts of the medieval St Thomas' Hospital.
Southwark's other scheduled monuments include the sites of the Globe and Rose theatres on Bankside, the site of Bermondsey Abbey, the remains of Winchester Palace and the Roman boat underneath Guy's Hospital.