Construction began in November 1933 under the same chief building inspector who had overseen the adjacent Empire Stadium - R. J. Fowler - working for Arthur Elvin, the man who saved Wembley Stadium from demolition in the 1920s. Prince Henry, Duke of Gloucester, opened the building on 25 July 1934, less than nine months after work began. The 1934 Empire Games swimming events followed. The Empire Pool continued as a public swimming facility until the start of World War II, when the building was repurposed - first as a hostel for Gibraltarian refugees, then as a venue for boxing and ice hockey. It hosted the swimming, diving, water polo and boxing events for the 1948 "Austerity Olympics," the games staged on a tiny budget in a Britain still rationing food. After 1948 the pool was permanently decked over. The building was renamed Wembley Arena on 1 February 1978.

When the NME Poll Winners Concerts moved to the Empire Pool in 1960, the building entered a new life. Audiences of 10,000 packed in to see the Beatles, Cliff Richard and the Shadows, the Monkees, Dusty Springfield, the Hollies, and Dave Dee, Dozy, Beaky, Mick and Tich. Famous personalities presented awards on stage - Roger Moore handed the Beatles one of theirs; Roy Orbison handed Joe Brown his. The ceremonies were televised. The Beatles played their last official live UK appearance at the Empire Pool on 1 May 1966 (the cameras were off because Brian Epstein and ABC TV had not agreed terms). On 21 November 1971 Led Zeppelin staged the first really theatrical rock concert here - the "Electric Magic" night, with circus acts on the bill. The original 30-pence poster, designed by Steve Hardcastle, now sells for over £500 at auction. Pink Floyd, Bowie, the Rolling Stones, the Eagles, Queen, the Who, Genesis - by the late 1970s a Wembley Arena residency was the marker of a serious rock career. The Electric Light Orchestra set a record in 1978 by playing eight consecutive nights. Dire Straits broke it in 1985 with thirteen consecutive nights on the Brothers in Arms tour.

ABBA played six sold-out concerts here from 5 to 10 November 1979, the Wembley residency that became part of their farewell to live touring. Swedish television filmed it for what eventually became ABBA in Concert in 2004 and Live at Wembley Arena in 2014. The band's closing track on Super Trouper - "The Way Old Friends Do" - was recorded live at these shows. Bjorn Ulvaeus said afterwards: "It was like coming home after a couple of nights." Agnetha Faltskog said the song worked better live than in the studio because of the audience. Queen first played here in May 1978, returned in December 1980 and again in September 1984. Cliff Richard has played here more often than any other male artist - 61 performances. Tina Turner holds the female record with 25 shows. Status Quo hold the rock band record with 45. The Irish boyband Westlife sold 28 sell-outs over a decade, totalling 250,000 tickets. Pearl Jam set the single-show attendance record in 2007 with 12,470 fans.

Wembley Arena closed for 14 months in February 2005 for a £35 million refurbishment, part of the broader Wembley regeneration. Events moved to a temporary 10,000-seat venue called the Wembley Arena Pavilion next door, which was later disassembled and rebuilt in Attard, Malta, where it now operates as the Malta Fairs and Conventions Centre. The refurbished arena reopened on 2 April 2006 with Depeche Mode. The capacity is currently 12,500, making it London's second-largest indoor arena after the O2. A "Square of Fame" outside the arena, modelled on the Hollywood Walk of Fame, was added in 2006 - Madonna's was the first plaque, on 1 August 2006. Bryan Adams added his on 10 May 2007 before his 25th appearance. Westlife added theirs in 2008 after 27 sell-outs. Alice Cooper added his in 2012 as the only solo artist to have headlined at the venue in five consecutive decades. The naming rights have changed several times: the SSE Arena (2014), the OVO Arena Wembley (since 2022). Operations changed hands too - AEG Facilities, then ASM Global, now Legends Global since December 2025.

Wembley Arena has hosted things that have nothing to do with music. The 1948 Olympic boxing, diving, swimming and water polo events. Badminton and rhythmic gymnastics at the 2012 Olympics. The Wembley Professional Tennis Championships, a major pre-Open Era tournament, ran here from 1934 to 1990. From 1936 to 1939 and again from the 1950s to the 1970s, the Skol Six-Day cycle race assembled a 166-metre indoor velodrome inside the building each September - Eddy Merckx and Patrick Sercu competed here. Two NHL preseason games (1992 and 1993). The Horse of the Year Show (1959-2002). Indoor speedway in the early 1980s on a concrete 181-yard track. The News of the World darts championship final stage (1948-49, 1959-62, 1978-88). The Masters snooker tournament (2007-2011). The 2015 League of Legends World Championship quarterfinals. WWE TakeOver: London. Critical Role filming their Dungeons and Dragons reunion (sold out in less than six minutes). 12,000 tickets - to watch people play D&D. The building was originally designed to host swimming. It has done quite a lot more.