The first newspaper mention of Ashley Avenue is in the Belfast News-Letter on 16 Aug 1860. Two years later there is an advert for an auction for Ashley House in the Belfast Morning News on 25 Apr 1862. Ashley Avenue first appears in street directories in 1866.
Ashley Avenue may take its name from Ashley House, but the reverse is also possible. A connection with Lord Ashley seems likely. In 1857 Lady Harriet Chichester, the only daughter of the 3rd Marquess of Donegall married Anthony Ashley-Cooper, then styled Lord Ashley. He subsequently became the 8th Earl of Shaftesbury and inherited Belfast Castle.