Henrion Hall, built in several phases, was the first permanent gymnasium on campus. Originally named Memorial Gymnasium because it was dedicated to the Fairmounters who served in World War I, it was later renamed for Walter Henrion, longtime member of the Fairmount and Municipal University boards, whose construction company made a major contribution to the building. The main gym (running north and south) opened in 1921. The women's gym was added on the east in 1929 with concrete bleachers for the adjacent Shocker Stadium. Locker rooms were added to the north and south ends of the original addition in 1937.

The physical education department was housed in Henrion until the Heskett Center opened in 1983. The School of Art and Design now uses Henrion Hall as studio space for ceramics, sculpture and painting.