Christchurch-born Wilding, known as the "dashing New Zealander", had female spectators swooning at his "manly brand of tennis".
The photos, taken by a spectator at the 1910 tournament - which Wilding won - were sold for an undisclosed sum to a New Zealand buyer at an auction in London on Saturday.
Auctioneer Alan Aldridge of Henry Aldridge and Son said last week the "very, very rare" pictures that had surfaced from a "well-connected, established" London family were expected to fetch about $2000.
Anna Wilding, herself a top junior tennis player, was disappointed not to have known about the auction.
"I'd love to have them for the family; to show them, share them, utilise them," she said.
Wilding, an award-winning actress and director, would like to make a documentary about her famous great-uncle if she could secure funding, which she says is "very tough".
She believes the sporting accomplishments of Wilding, whose legacy in Christchurch - the grass courts of Wilding Park - were destroyed by earthquakes, have been underplayed in New Zealand, and globally.
"He was a superstar, a pioneering athlete of the day.
"And not only did he fly the flags of New Zealand and Britain at top tennis tournaments around the world, he lost his life fighting for his country."
Champion player
• There's a case to say Anthony Wilding is our greatest sportsman. Born in 1883 to wealthy English immigrant parents, Wilding learned tennis at the family home in Christchurch.
• At 17, he swept the Canterbury Championships before leaving for Britain to read law at Cambridge University. In 1905 he returned to New Zealand. He won the national tennis title in 1906 and returned to England. He won his first Wimbledon in 1910 and was considered the world's top tennis player for the next five years.
• Wilding won 11 major titles, including four consecutive Wimbledons, and helped the Australasian team win three consecutive Davis Cups between 1907-1909. He won a bronze medal at the 1912 Stockholm Olympics.
• When World War I broke out he enlisted in the British Army. On May 9, 1915, Captain Wilding was killed, aged 31 when a shell exploded near where he was sheltering. He is buried in France.