The Wanganui Opera House was built in response to an upsurge of theatrical entertainment in Victorian New Zealand, and also a Wanganui Borough Council decision that Queen Victoria's record reign should be marked. The Wanganui Borough Council began discussions about the proposed erection Municipal Opera House in 1897. In the following year a national competition was held to find a suitable design, and the winning entry was submitted by Wellington architect George C. Stevenson. Nicholas Meuli, a well known building contractor in Wanganui, was contracted to build the opera house. Stevenson died before the foundation stone was laid in July 1899 and supervision of the construction was undertaken by James Tawse, a retired building contractor. The building was completed in five months at a total cost of £5,200, and was opened on 9 February 1900 by the Premier, Richard Seddon.

The building was designed in keeping with the neighbouring Council Chamber building. A feature of the building was the domed ceiling above the Dress Circle. The building was initially lit mainly by electricity from a gas-fired generator. The internal supply of electricity proved problematic, and was eventually replaced by an external supply from the tramway system. Other changes included the erection of a porch over the main entrance to the building in 1920. Although films had been shown in the Opera House from the first year of its opening, in 1920 alterations were undertaken to enable the theatre to show films on a regular basis, and it became the home of the Paramount Municipal Picture Theatre. In 1937 the Opera House was closed for several months while repairs were undertaken following a fire which started in the sweet stall. In 1938 an annexe was added to provide better storage facilities.

In 1988 the cost of running the Opera House was considered too great for the council and it was decided to offer the building to the community to run. In 1989 the Friends of the Opera House was formed, undertaking to restore and refurbish the Opera House. Between 1990 and 1999 the number of seats was reduced from 1,000 to 830, exit doors were installed at either side of the building, the stage replaced, and an annexe added to provide room for set construction and catering. During 1999/2000 celebrations were held to mark the centenary of the building. As part of these celebrations a Royal charter was given to the Opera House, and the name changed to the Royal Wanganui Opera House.

Although the building does not have the facilities required by a modern opera house, its excellent acoustics have been recognised by international artists. It is an important survivor of a distinctive era of theatrical entertainment.