The idea in creating the club came from Ethel McCaul, a Royal Red Cross nurse who was served in field hospitals during the South African War at the start of the 20th century. The Prince of Wales laid the foundation stone of the club in July 1904 and later as King Edward VII with Queen Alexandra officially opened the club in July 1907. The original Edwardian building was located at 91 Waterloo Road and was completed at the end of 1904.