Together with Nørre Voldgade and Øster Voldgade it forms a traffic artery which arches around the Zealand side of central Copenhagen all the way to Kastellet (at Oslo Plads on the coast north of the city centre.

The section from the haymarket to the harbour was originally known as Filosofgangen (English: Philosopher's Path).

11 was built for Niels Gade's Music Academy in 1887 in the Renaissance Revival style by Christian L Thuren.

119 is a former hay storage from about 1799, part of the Royal Horse Guards Barracks.

Vester Voldgade School (89) was completed in 1890 to a design by Ludvig Fenger.

[8] The main staircase of the Rådhuspladsen Copenhagen Metro station faces the square.