Although the band's members first began playing together in Baltimore, Maryland, the band officially formed in October 2004 in Raleigh, North Carolina by Shawn Milke, Patrick Thompson, Dennis Lee, Steven Tomany and Daniel Magnuson. The name of the band is derived from Alice-anna St., which Shawn Milke and Patrick Thompson lived on when playing in Baltimore, MD. Alice-anna St. is located in Fells Point, a neighborhood in Baltimore. Alesana was the first band to join Tragic Hero Records in 2005, and they 3 demo songs titled "Apology", "Beautiful in Blue" and "Goodbye, Goodnight for Good" which were featured on a compilation All The Tragedy Money Can't Buy. Later they released their debut EP, Try This With Your Eyes Closed, in May of that year. They toured in the United States, including an appearance at the Cornerstone Festival. In the same year Daniel Magnuson was replaced by Will Anderson.
In 2006 they added a new drummer Jeremy Bryan to replace Will Anderson and added guitarist/vocalist Adam Ferguson to their lineup. They followed with a full-length album, entitled On Frail Wings of Vanity and Wax, in the summer of 2006. Many of the songs on the album take inspiration from Greek mythology, for example: "Ambrosia" is based upon King Midas & his golden touch, and "The Third Temptation of Paris" is based upon the Trojan War. In late 2006, they signed on to Fearless Records, which re-released their LP in March 2007 to mixed reviews and released a music video for "Ambrosia". In
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