Opened in 1998, BAM's four-screen theater, BAM Rose Cinemas, is located in the Peter Jay Sharp Building at 30 Lafayette Ave. When BAM reopened in Fort Greene in 1906, what are now the cinemas was actually BAM's music hall, its acoustics ideal for smaller orchestras. In 1957, the venue was converted to a playhouse, which housed smaller theatrical productions and revues. The space went through another transformation in 1998 to become BAM Rose Cinemas, restoring the playhouse's elegant proscenium and preserving the space's history.

One screen of the cinemas is devoted to BAMcinématek, which offers daily screenings of repertory classics and special festivals, with frequent guest speakers, while the other three screens show first-run and independent films. The theaters seat 103, 155, 272, and 222 patrons respectively.