The mansion and gatehouse on the 54-acre estate were built by Harry C. Coulby, the "Czar of the Great Lakes" and head of the Interlake Steamship Co. Coulby was Wickliffe's first mayor, serving a single term in 1916.

Coulallenby was designed in the Italianate Revival style by architect Frederick W. Striebinger, and was built by W.B. McAllister & Co. of Cleveland. The name of the estate is a conflation of the last names of Harry Coulby and his wife, May Allen Coulby. Construction began in 1913 and was complete in 1915. The $1 million mansion included 16 rooms with seven fireplaces, a formal gardens, a pond, a cow barn, a gatehouse (now the Wickliffe Police headquarters) and a park.