The club is situated next to the Dataran Merdeka, or Independence Square, padang (field), and is accessible from Jalan Raja (King Road).

Nevertheless, membership to the club was primarily determined by high educational standard or social standing, rather than race or citizenship; for example an original founding member was Thamboosamy Pillay and its first Secretary was a German, Count Bernstorff.

[3] The club was initially based in a small wooden building with an attap roof near the north eastern corner of the padang.

In 1890, this early building was replaced by a two-storey structure designed by the Government Architect A.C. Norman at the current site of the club on the west side of the padang.

Over the years, the club's membership increased and had also begun to include high-ranking Malaysian civil servants: judges, lawyers and important people in society.

As a result, plans for a civic center in the area were abandoned, and City Hall granted the reconstruction of the club's new building in July 1978.

The new wing, which was built in a similar Mock Tudor style as the rest of the club building, was constructed between 5 November 1978 to December 1980 at a cost of M$6 million.

Legend has it that some members of the Selangor Club decided that it would be a good idea to run to work after heavy drinking the night before so they could rid themselves of their hangovers, which apparently they did.

Throughout the time the field was used by the club, sporting activities such as cricket, rugby, hockey and football matches were held there almost on a daily basis.

[5] Effort has been made to accumulate support from various bodies to recognise the club as a national heritage building and institution, due to its intertwined link with the country's history.

The club is one of the oldest in the country, serving as a British institution, and is witness to the first hoisting of the Malayan flag in place of the Union Jack on the night of 30 August 1957 and declaration of independence by Tunku Abdul Rahman (to which club members broke into cheers of happiness), signifying the country's independence from the British.