The site was acquired by author, playwright and impresario Laurence Cowen, and had previously been the location of the old Albion Tavern, a public house that was frequented by Georgian and Victorian actors.

Since the demolition of the original Wembley Stadium, the theatre is now the oldest remaining public building designed wholly using concrete as a textured and exposed façade.

The theatre's famous figurine, Terpsichore (perched high above the entrance) was sculpted by M. H. Crichton of the Bromsgrove Guild, a noted company of artisans from Worcestershire.

The theatre is entered through bronze double doors, and internally there is a foyer of grey and red marble, with a beaten copper ticket booth.

From 9 to 13 September 2008, the show was performed in Japanese by Takaya Kamikaya and Haruhito Saito, in celebration of the 150th anniversary of diplomatic relations between the UK and Japan.