[2] The Connaught Studio (previously known as The Ritz cinema), next door, was the venue for the short-lived The End of the Pier International Film Festival.

The Connaught Theatre occupies the former Picturedrome cinema, which was built in 1914 on the site of Stanmore Lodge[3] and opened in July of that year.

[3][5] In 1926, Swiss impresario Carl Adolf Seebold, who owned other cinemas in Worthing[6] and who had been the Picturedrome's musical director since it opened, bought it.

[8] The first production, a play called Theatre Royal, was given on 30 September 1935;[9] it formed the centrepiece of a special opening week programme, and was very successful.

[4] The establishment of the Connaught in former cinema premises represented an unusual reversal of the contemporary tendency for theatres to be converted into cinemas—a trend seen throughout Britain in the 1930s.

[14] In 1956, Winston Churchill visited the theatre to see his daughter Sarah perform in Terence Rattigan's play Variation on a Theme.

[10][15] Harold Pinter acted at the Connaught under the stage name David Baron, moving to a house just a few yards from the theatre in Ambrose Place in the 1960s.

Two years later, the entrance foyer on Union Place was rebuilt in Moderne style, with two rendered storeys, parapeted, in three bays.