The building, at 2, Ladbroke Road, London W11, had been built in 1851 as a Sunday school for the adjacent Congregational Chapel, but was extensively altered to serve as a theatre.

[1][2] The style was set by the first production, Jupiter Translated, an adaptation of Molière's Amphitryon by Walter James Turner with a ballet by Rupert Doone as entr'acte.

[5] The theatre's reputation was further established in 1935 by the first London productions of T. S. Eliot's Murder in the Cathedral, transferred from Canterbury, and two years later by W. H. Auden and Christopher Isherwood's collaborative poetic play The Ascent of F6.

[1] The Pilgrim Players' seasons in 1945–1947, under the direction of E. Martin Browne, consolidated the position of poetic drama at the Mercury with such productions as Norman Nicholson's The Old Man of the Mountains, Ronald Duncan's This Way to the Tomb, Florida Scott-Maxwell's experimental I Said to Myself,[6] and Anne Ridler's The Shadow Factory.

[7] Today the building is distinguished by a small bronze figure of Mercury mounted on the east end of the roof and commemorative plaques for both the theatre and the ballet company.