Fitzroy Bay is on the eastern side of the entrance to Wellington Harbour, on the exposed Cook Strait coast. It sits between Pencarrow Head to the north and Baring Head / Ōrua-pouanui to the south, near the southern end of East Harbour Regional Park.
In practical terms, it is the rugged coastal bay you see when looking from the Baring Head lighthouse area back towards Pencarrow and the harbour entrance. It is in the Lower Hutt / Wainuiomata Coast side of the Wellington Region. The coast is part of East Harbour Regional Park.
