By the end of the 1880s, the swimming baths provided for their workers by the Great Western Railway (GWR) were inadequate and it was decided to build new ones on the other side of Faringdon Road from the railway works. Building started in 1891 and the first part of the building opened the following year.

The building, for the GWR Medical Fund Society, was designed in a simple ‘Queen Anne’ style by local architect John James Smith (d 1915). As well as a new headquarters for the fund,  it was to house an increasing number of facilities providing for the health of company workers and their families, starting with separate swimming pools for men and women. There followed the fund's dispensary and treatment rooms. It made sense to bring all the fund's baths together and, in 1904, work was started on new Turkish and slipper baths, with their own ‘Washing & Turkish Baths’ entrance in Milton Road.