To the south is Short Street, quickly leading into Emmanuel Road past Christ's Pieces.
Jesus Lane Friends Meeting House was established here on land donated by Anne Docwra in 1700.
A mediaeval church, All Saints Jewry, originally stood in St John's Street, to the west of Jesus Lane.
The neoclassical building was originally designed as Victorian Roman Baths in 1863 by Sir Matthew Digby Wyatt who later bought it, and rented part of it back to the club.
In October 1997, the club sold a 25-year leasehold on the ground floor of its building to the Pizza Express chain.