The Circolo Musicale Santa Marija was the first Musical society in Gudja, established about the year 1883. After some ups & downs, the new circolo Musicale Santa Marija closed its doors for the last time in 1915.
At the beginning of 1919, Messers Abram Zammit , Loretu Thewma, Giuseppi Gatt and john Baldacchino, started discussions about the formation of a musical society to help the Feast of Santa Marija and also organise the feast of our Lady Of Consolation at Gudja. The number of persons supporting this idea was so encouraging that a premises was officially opened on Friday 16th May 1919 as "Circolo Musicale Indipendente". On the 7th of June 1919 the circolo was one of those clubs showing Sympathy for the 4 Maltese persons killed in Valletta, by hosting the flag at half-mast. Later in 1919, an orchestra was formed under Mro Ferdinandu (Dandu) Falzon.
In 1936, Circolo Musicale Indipendente changed its name to King Edward VIII Musical Club.
During 1939-1945 war, the club premises were offered to the civil Authorities to house the refuges after the first air raids of 11th June 1940.
On the 12th April 1942 the premises were damaged during an air attack, and all documents and Trophies were lost.
On the 10th September 1943 Mro Anthony Micallef was entrusted with the formation of a band, which was inaugurated on the 13th August 1944 by Mons Emmanuel Galea, Bishop Of Tralles as Our Lady of Consolation Band Club.
In 1993, Our Lady Of Consolation Band Club changed its name to Ghaqda Muzikali Maria Assunta.The Maria Assunta Band is still taking an active part in the celebrations at Gudja of the feast of Our Lady Of Consolation which falls on the last Sunday of October, as well as Santa Marija, the Patron Saint of Gudja on 15th August. In the olden times, when people were very poor, the local Festa was the only means of entertainment, wearing their best clothes, having a special dinner and participating in the celebrations. Today the standard of living has improved but the tradition of the Local Festa is still very strong. Since its formation in 1919, the Society had many distinguished visitors, amongst them the Governor of Malta, The Presidents of the Republic of Malta and Church Dignities.