King George Sound, sitting astride one of the main shipping routes between Eastern Australia, Europe, India and Singapore, was quickly recognised as being of strategic importance with its protected waters and supplies of fresh water and provisions. During World War I, several convoys carrying ANZAC troops to Gallipoli and the Western Front assembled in King George Sound. For many troops, the Sound with its islands, rugged cliffs and brilliant white sandy beaches set against the dark green of the surrounding hills was their last sight of Australia. In 1918 a dawn service was inaugurated in Albany by a former military chaplain Arthur White, commemorating the departure of the ANZAC convoy. This tradition eventually extended throughout Australia, becoming part of the official ceremony of ANZAC day.

Finally, during World War II, Princess Royal Harbour became for a short time a base for American submarines and sea planes.