Opened in 1937, the Wellesley was originally built as a cinema. This was later converted for theatre use with the addition of backstage facilities (dressing rooms, green room and scene dock) and a flying gallery.
The original art-deco interior of the building has been well preserved and the building remains open as a cinema all year round, with films making way for WAA stage performances for two weeks each year (the pantomime in January and musical in May).