Widely regarded as among the finest provincial art galleries in New Zealand, the Sarjeant Gallery was established from the bequest of Henry Sarjeant (1830-1912) and the efforts of Sarjeant's widow, Ellen Agnes Stewart, both of whom were inspired by their love of art and of the Wanganui region. It was decided to place the new gallery on a prominent site overlooking the town that had been reserved for public buildings since 1875. The Wanganui Borough Council called a national competition to design the gallery in what was to be the new civic centre. The competition was run under the auspices of the New Zealand Institute of Architects with Samuel Hurst Seager, a notable Christchurch-based architect, adjudicating. The winner was Donald Hosie, a young architect articled to the Dunedin-based firm of Edmund Anscombe and Associates. Hosie, just 21, was conscripted in 1916 to fight in World War One and died in France at the battle of Passchendaele in 1917. Edmund Anscombe took over supervision of the construction and the Governor-General, Lord Liverpool, laid the foundation stone in September 1917. The building was officially opened by Prime Minister William Massey in September 1919. The then Whanganui mayor Charles Mackay had championed the building's construction, which was reflected in the inclusion of his name on the foundation stone. However, Mackay's name was removed after he was publicly exposed as a homosexual, following his shooting of his blackmailer in 1920. In the lead-up to the passing of the Homosexual Law Reform Act in 1986, local queer activists lobbied for the restoration of his name on the foundation stone, which occurred in 1985.

The final design of the gallery, based on a Greek cross, was a reflection of both the architect's vision and the conditions attached to the competition. The latter required that the building be designed in a Classical style, 'drawn in a quiet, dignified simple manner', but with some originality. In Hosie's design, the brick masonry construction faced with Oamaru stone, reinforced concrete floor, and concrete partitions and ceilings helped promote the strength, stability and order, characteristic of the Classical style. The competitors were also asked to incorporate the 'Top-Side-Lighted' method of lighting galleries newly developed by Seager.

The only work of Donald Hosie, the gallery's design reflects the ideas surrounding the way in which art was to be displayed at the beginning of the twentieth century. This includes new ideas for lighting gallery spaces, which were later studied by other architects and incorporated into similar buildings around New Zealand. It is a prominent and distinguished building, which engenders a degree of provincial pride not only for its design but also for its renowned collection of New Zealand art. The building is also significant as it commemorates a notable Wanganui settler, Henry Sarjeant.