The club was formed in 1946 in the post-Second World War football boom, as many in the area felt it wrong that the area which held the English National Stadium didn't have its own senior football team. It was formed from two local Junior clubs: Sudbury Rangers and Sudbury Ratepayers. As a result of their efforts, the club took the motto "A Posse Ad Esse" ("From Possibility To Reality").

They play at Vale Farm, Watford Road, Wembley (capacity 2,000) in red and white and are nicknamed "The Lions". This is due to the presence of a lion in the coat of arms for the old Borough of Wembley.

Wembley began life in the Middlesex Senior League becoming League Champions in only their second season of existence in 1947-48. They then spent two seasons in the Spartan League Western Division, becoming Champions in 1950-51 moving to become one of the founder members of the Delphian League in 1951. Vale Farm's record attendance was recorded in 1952 when 2,654 attended a derby game with local rivals Wealdstone. In 1956, they achieved second place in the league and also reached the finals of both the London Senior Cup (losing 1-3 to Brigg Sports at Ilford) and Middlesex Senior Cup (losing 1-2 to Hendon at Wealdstone). For a club only a decade old it was an impressive achievement which saw them join the Corinthian League the following season (1956–57). 1956-57 also saw Wembley win the NW Middlesex Invitation Cup beating local rivals Harrow Town over two legs.That competition merged with the Athenian League in 1963 and became the First Division where the club remained until gaining promotion to the Premier Division in 1968. Malcolm Allison's first job in football management was with Wembley but most of his reign unfortunately coincided with the Big Freeze of 1962-63 so his impact was minimal. England prepared for their victorious FIFA World Cup campaign in 1966 by using Vale Farm as their training base. 1967-68 saw Wembley's best ever FA Amateur Cup run as they reached the 2nd Round Proper. They retained their status until the expansion of the Isthmian League in 1973 when the Athenian League had to restructure into Divisions One and Two. Their elevation to the Isthmian occurred at the end of the 1974-75 season.Wembley were members of the Isthmian League for 31 years. For most of that time they were in Division One. They came close to promotion to the Premier Division on two occasions in the 1980s but finished third on both occasions. Wembley reached the 1st Round Proper of the FA Cup for the one and only time in 1980-81 where they lost 0-3 to Enfield. In 1983-84 Wembley reached the semi finals of the Isthmian League Cup before losing 4-1 to the eventual winners Sutton United. Wembley were one of the most successful clubs in Middlesex throughout the 1980s appearing in eight County Cup finals - winning five, including doing the County Cup 'Double' in 1986-87 by winning both the Middlesex Senior Cup and the Middlesex Senior Charity Cup. Wembley reached both finals again the following season but lost both. The Charity Cup Final was played at Wembley Stadium in front of almost 5,000 supporters but the Lions lost 3-0 to Hendon. They had however beaten Football League side Brentford at Griffin Park in the semi final coming from 0-1 down to win 2-1. It is the only time (thus far) in Wembley's history that they have beaten Football League opposition in a competitive match.The 1990s saw two excellent FA Cup runs, reaching the 4th Qualifying Round in 1992-93 before eventually going out to Nuneaton Borough after three replays (including one played in front of over 2,000 people) and the 3rd Qualifying Round in 1994-95 - beating Welling United - then of the Vauxhall Conference - 4-1 away from home. 1994-95 also saw The Lions win the Middlesex Senior Charity Cup for the fifth time, beating Hampton 2-1 at Northwood. Hopes of promotion were high as Wembley entered their Jubilee season in 1995-96 but the loss of key players Giuliano Grazioli to Football League side Peterborough United and Charlie Flaherty meant that The Lions struggled from the off and eventually were relegated for the first time in the club's history. In a strange coincidence this season also saw Wembley's best ever FA Trophy, reaching the 2nd Round Proper before losing 0-2 to Vauxhall Conference side Northwich Victoria at Vale Farm. The Lions bounced back however and won promotion back to the First Division at the first time of asking finishing 3rd behind Leatherhead and Romford. The Lions also reached the final of the Middlesex Charity Cup again but lost 0-1 to local rivals Edgware Town.Under the management of Errol Dyer, 1998-99 saw Wembley reach the Middlesex Senior Cup final at Enfield's Southbury Road but they eventually lost to Hendon on penalties - the game having finished 2-2 after extra time.In the 2005-06 season they played in the Isthmian League Division Two but as a result of the restructuring of non-league football they were moved sideways into the Combined Counties League Premier Division. After a strong first season when The Lions remained in contention for the title for most of the season, the club have struggled at the wrong end of the table since. The club rounded off the 2010–11 season by reaching the Combined Counties League Premier Challenge Cup Final - their first final in 12 years - but lost 0-1 to Sandhurst Town. The final was played at Farnborough Town FC's Cherrywood Road ground.

Traditional rivals for Wembley are Harrow Borough and the now defunct Edgware Town whilst Wealdstone are also unpopular with most Wembley supporters. South Kilburn F.C. are now the club's new neighbour since their switch from the Hellenic League to join the Combined Counties League First Division. The two clubs have also been drawn together in the Combined Counties League Premier Challenge Cup. Premier Division side Hendon are now entering their third season of ground-sharing at Vale Farm.

In the 2011/12 season, their FA Cup extra preliminary-round tie against Ascot United , was shown exclusively via a stream from Facebook; funded by the FA Cup's new sponsors Budweiser (Anheuser-Busch), it was the first broadcast of its kind anywhere in sport. Wembley won the match 2-1, with second-half goals from Chris Korten and Roy Byron, securing the win for The Lions in front of a record attendance of 1,149 at Ascot's Racecourse ground.

League Records

• Middlesex Senior League Champions - 1947-48
• Spartan League (Western Division) Champions - 1950-51
• Delphian League Runners Up - 1955-56
• Athenian League (Division One) Runners Up - 1967-68
• Athenian League Runners Up - 1974-75
• Isthmian League (Division Two) Promotion - 1996-97
• Suburban League (North) Champions - 1985-86

Cup Records

• FA Cup best performance: first round proper - 1980-81
• FA Amateur Cup best performance: second round proper - 1966-67, 1968–69
• FA Trophy best performance: second round proper - 1995-96
• FA Vase best performance: third round - 1999-00, 2007–08
• Middlesex Senior Cup: winners - 1983-84, 1986–87 finalists - 1955-56, 1968–69, 1978–79, 1987–88, 1991–92, 1992–93, 1998–99
• Middlesex Senior Charity Cup: winners - 1967-68 (joint), 1980-81 (joint), 1982–83, 1986–87, 1994–95
• London Senior Cup finalists - 1955-56
• Spartan League Dunkeld Trophy: winners - 1950-51 (joint)
• North West Middlesex Invitation Cup: winners - 1956-57
• Middlesex League Cup: winners - 1946-47
• Suburban League Cup: winners - 1984-85
• Combined Counties League Premier Challenge Cup: finalists - 2010–11

Wembley versus Football League opposition

• 1956-57: London Challenge Cup – Arsenal (a) L 1-5
• 1959-60: London Challenge Cup – Chelsea (a) L 0-16 (Wembley's record defeat)
• 1966-67: London Challenge Cup – Queens Park Rangers (a) L 0-5
• 1987-88: Middlesex Senior Charity Cup Semi Final – Brentford (a) W 2-1
• 1989-90: Middlesex Senior Charity Cup Semi Final – Chelsea (h) L 0-2
• 1990-91: Middlesex Senior Charity Cup – Chelsea L 2-3
• 1991-92: Middlesex Senior Charity Cup – Brentford L 0-1
• 1995-96: Middlesex Senior Charity Cup – Brentford L 0-1