The Sheldon Theatre is a historic performance venue in Red Wing, Minnesota, United States, built in 1904. It was listed on the National Register of Historic Places in 1976 as the T.B. Sheldon Memorial Auditorium for having local significance in the theme of performing arts. It was nominated for being the first municipally owned theatre in the United States and a long-standing cultural venue in Red Wing. It later became a contributing property to the Red Wing Mall Historic District as well.