It is housed in a Grade-I heritage building, the old Dairy farm cold storage depot, built circa 1892 in a late Victorian eclectic style.

In 1892, Dairy Farm built a low-rise brick and stucco building on Lower Albert Road in Central for use as a cold storage warehouse.

The Fringe Club has two studio theatres, an exhibition area, a rehearsal room, restaurants, a roof garden and offices.

The operation of this organisation is supported by the Hong Kong Arts Development Council and earned incomes from its food and beverage facilities, ticket sales, advertising, membership fees, sponsorship and donations.

The original features are still retained when this place served as the front shop of the old Dairy Farm Cold Storage Depot for selling milk and ice cream, such as the 1913 tiled floor, tall French windows with wooden shutters and overhead fans.