Wesley was active in African-American fraternal organizations, both during and after college. He was elected as the 14th and a five-term General President, and later National Historian for seven decades, of Alpha Phi Alpha, the first intercollegiate Greek-letter fraternity established by and for African Americans. He wrote "The History of Alpha Phi Alpha" (1929), updating it in many new editions. Wesley was also an archon of Sigma Pi Phi (the Boule), the first of all Black Greek Letter Organizations (BGLO). He was a Prince Hall Freemason, a Sovereign Grand Inspector General (33rd Degree) of the United Supreme Council (Southern Jurisdiction, Prince Hall); a member of the Odd Fellows, Elks, and many other fraternal organizations.