Swindon Pegasus Brass Band is the oldest established musical organisation in Swindon, tracing its heritage back to the early 1900s. In the 1980s the Band appeared at the National Championships of Great Britain held at the Royal Albert Hall finishing in the 9th position, the highest position ever for a Wiltshire Band. In recent times the Band were the 1995 West of England 1st Section Champions qualifying for the National Finals.

The band was formed in 1903, when 14 players joined together and accepted an offer to use a room at the Wesleyan Chapel in Gorse Hill for rehearsals, and called themselves the Wesleyan Mission Chapel Band. In 1912 they parted company with the Chapel and moved their practices to St Barnabus Church Hall and renamed themselves the Gorse Hill Brass Band. Shortly after the First World War the Great Western Railway Social and Educational Union was approached for facilities and use of its name, and thus the Band's long association with the Railway began, firstly as the Great Western (Swindon) Band and later Swindon British Railways Social and Educational Union Silver Band (or BR Band for short!).

With the closure of the Railway works and Mechanics Institute in the 80s, the band became part of the Thamesdown Community Arts Project and changed its name to Swindon Concert Brass. Then, in 1989 began a five year sponsorship with Readers Digest, changing its name to Swindon Pegasus Brass. Although no longer sponsored by Readers Digest the Band has retained the same name.

During this period the band took on something of a nomadic existance, moving from the Mechanics Institute to the Town Hall, until the dance studios became established in the Town Hall. The Band then moved briefly back to the Mechanics Institute until that was closed, when it moved to the British Legion Club in Havelock Square. After several years there, the Band was again made homeless with the closure of the Legion, and it took up residence in Purton Stoke village hall. Finally, in the early 90s the Band began rehearsing in the old Co-op in Stratton St Margaret.

The Band's current home is now its permanent place of residence, as it now owns its own purpose-converted premises in Stratton St Margaret. With the aid of a Lottery grant, the band was able to purchase and renovate the Co-op building, which was formally opened by Sir Malcolm Arnold in 1995.