The colony was known as the Federal Colony of the Windward Islands from 1871 to June 1956, and then as the Territory of the Windward Islands until its dissolution in 1960.

The capital was Bridgetown on Barbados, from 1871 to 1885, and thereafter Saint George's on Grenada. The islands were not a single colony, but a confederation of separate colonies with a common governor-in-chief, while each island retained its own institutions. The Windward Islands had neither legislature, laws, revenue nor tariff in common. There was, however, a common court of appeal for the group composed of the chief justices of the respective islands, and there was also a common audit system and the islands united in maintaining certain institutions of general utility.