The Department of Music is located in the Hung Hing Ying Building, a two-storey Edwardian-style structure that is a declared historic monument of Hong Kong. The building was officially opened in February 1919 by Governor Sir Reginald Stubbs, and was financed by Sir Paul Chater, Professor G.P. Jordan, and others.

Originally designed to accommodate the Students' Union, it was temporarily used for administrative purposes after World War II. An east wing was added in 1962, and it was converted to the Senior Common Room in 1974. In 1986, it was named after Mr. Hung Hing Ying in recognition of his family's generous donations to the University.

The building became the home of the Department of Music in November 1996, and presently houses the Music Library, computer lab, recording and electronic music studio, seminar rooms, student lounge, and a collection of historical musical instruments. Performances are occasionally held in the rotunda area under the magnificent central dome.