In all likelihood the first private courts in New South Wales were connected with Royal Sydney in that they were built at Dame Eadith Walker's "Yaralla" at Concord and at the "Gostwyck" property of the Dangar family at Uralla in the Northern Tablelands and later at "Barford", the home of W.O. (later Sir Warwick) Fairfax at Bellevue Hill.

In 1912 the General Committee received a request to build a court for 120 pounds; they postponed a decision and then let the matter lapse. The 1920 Annual Report mentions another such request, one repeated by the Associate Committee in 1922. But it was to be 1932 before the first two squash courts were established at Royal Sydney.

The Club was host for the New South Wales and Australian Championships several times during the 1930s when the game was riding a wave of popularity. Although the popularity of squash waned slightly in the latter part of the 1980s and 1990s, the Club still contains two squash courts for use by members all year round.