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New kinds of statistical ensemble are defined, representing a mathematical idealization of the notion of ``all physical systems with equal probability.'' Three such ensembles are studied in detail, based mathematically upon the orthogonal, unitary, and symplectic groups. The orthogonal ensemble is relevant in most practical circumstances, the unitary ensemble applies only when time-reversal invariance is violated, and the symplectic ensemble applies only to odd-spin systems without rotational symmetry. The probability-distributions for the energy levels are calculated in the three cases. Repulsion between neighboring levels is strongest in the symplectic ensemble and weakest in the orthogonal ensemble. An exact mathematical correspondence is found between these eigenvalue distributions and the statistical mechanics of a one-dimensional classical Coulomb gas at three different temperatures. An unproved conjecture is put forward, expressing the thermodynamic variables of the Coulomb gas in closed analytic form as functions of temperature. By means of general group-theoretical arguments, the conjecture is proved for the three temperatures which are directly relevant to the eigenvalue distribution problem. The electrostatic analog is exploited in order to deduce precise statements concerning the entropy, or degree of irregularity, of the eigenvalue distributions. Comparison of the theory with experimental data will be made in a subsequent paper.