SSS Horst Wessel began life as Schiff ("ship") 508 at Blohm & Voss in Hamburg, Germany in 1936. Her keel was laid on 15 February, she was launched on 13 June, completed on 16 September, and commissioned on 17 September. She was the second ship in the class to be built, following the class namesake Gorch Fock. Rudolf Hess gave the speech at her launch in the presence of Adolf Hitler, and Horst Wessel's mother christened the new ship with a bottle of champagne. The name was given in tribute to SA leader Horst Wessel, who had been accorded martyr status by the Nazi Party. He also wrote the song which came to be known as "Horst-Wessel-Lied" and used in the Nazi national anthem. Shortly after work began on Horst Wessel, the Blohm & Voss shipyard laid the keel of the German battleship Bismarck, which was labeled Schiff 509.
SSS Horst Wessel served as the flagship of the Kriegsmarine sail training fleet, which consisted of Gorch Fock, Albert Leo Schlageter, and Horst Wessel. (Mircea was also built in 1937 for the Romanian Navy, and work began on a fifth ship called Herbert Norkus, but was stopped with the outbreak of war.) Horst Wessel was commanded by Captain August Thiele, a previous Captain of Gorch Fock, and it was homeported in Kiel. In the three years before World War II, she undertook numerous training cruises in the North Atlantic waters, sailing with trainee groups consisting of both future officers and future petty officers. On 21 August 1938, Adolf Hitler visited the ship and sailed for approximately one hour before departing. Later that year, Horst Wessel and Albert Leo Schlageter undertook a four-month voyage to the Caribbean and visited St. Thomas and Venezuela. Along the way, they caught numerous sharks and turtles at sea and kept ducks enclosed on deck to provide fresh eggs.
Horst Wessel was decommissioned in 1939 with the onset of World War II, but served as a docked training ship in Stralsund for the marine branch of the Hitler Youth until her recommissioning as an active Navy sail training vessel in 1942. Numerous weapons were installed throughout the decks, including two 20 mm anti-aircraft guns on the bridge wings, two on the foredeck, and two 20 mm Flakvierling quad mounts on the waist. From late 1942 through early 1945, she sailed on numerous training deployments in the Baltic sea with cadets fresh out of basic training. On 14 November 1944, accompanied by Albert Leo Schlageter, Horst Wessel was sailing in rough weather, when, near the island of Rügen, Albert Leo Schlageter hit a mine that caused extensive damage to its starboard bow. Horst Wessel took Albert Leo Schlageter in a stern tow to keep her from running aground until larger ships could arrive the next day to assist.
In April 1945, after the last German cadet class had departed, Horst Wessel departed Rügen with a group of German refugees on board. She sailed to Flensburg where Captain Barthold Schnibbe surrendered to the British, and the ship ran up the Union Jack. Horst Wessel was ordered to Bremerhaven and tied to a temporary pier, and much of its equipment was stripped. At the end of World War II, the four German sailing vessels then extant were distributed to various nations as war reparations. Horst Wessel was won by the United States in a drawing of lots with the Russian and British navies, and requested by the United States Coast Guard Academy's Superintendent.