The name 'Wembley Downs' is actually derived from the name of the local golf course and the name was used by residents before being officially approved in 1959. The golf course was named after the suburb of Wembley, which is several kilometres east of Wembley Downs. The name 'Wembley' originated from a town in England.
Part of the land that now makes up Wembley Downs was originally granted to Henry Trigg and Mary Ann Hokin in 1842. David Boyd then acquired a tract of land in Wembley Downs covering 642 acres in about 1906. After the death of Boyd in 1926, his executors sold the land to the City Beach Land Company of Perth.
In 1927 Wembley Downs was subdivided into approximately 90 lots. Development was slow, due partly to the thick virgin bush and limestone outcrops, which made building difficult. In 1947 the Perth Road Board had to resume 600 blocks for unpaid rates, and these were sold at very cheap prices. However, growth accelerated in the 1950s and by the 1970s the area was almost completely developed.
The section of Wembley Downs incorporating the Wembley Golf Complex is officially located outside the City of Stirling.