The theater was named for its owner and chief funder, John Wesley Pence, a financier originally from Ohio, and was designed by architect Abraham M.

During construction, the building was struck by lightning, which was called "an act of God's retribution" by a local minister in his Sunday sermon that week.

The three-story building housed shops on its first floor, offices on its second, a billiard parlor in the basement, and the theater on the third.

[4] The theater opened on June 21, 1867, with a performance of Sheridan Knowles' play The Hunchback,[2] attended by Governor William Marshall and Sen. Alexander Ramsey.

[5] In its early years, the theater was one of the city's major gathering places, but was overshadowed by the opening of the Academy of Music and struggled thereafter.