Lady Penrhyn was built on the River Thames in 1786 as a slave ship. Lady Penrhyn was designed as a two-deck ship for use in the Atlantic slave trade, with a capacity of 275 slaves. She was part-owned by William Compton Sever, who served as ship's master on her voyage to Australia, and by London alderman and sea-biscuit manufacturer William Curtis. For her first voyage she transported convicts to New South Wales as part of the First Fleet. On her voyage back to Britain she was the first European vessel to pass by the Kermadec Islands, and the Penrhyn Atoll in the Cook Islands.