Is Ocean Terminal where all those cruise ships come in and berth,I remember coming into Leith,and the wife and I got lost,we were going to his/her majestys theatre,and drove straight by the road we were supposed to take,and ended up at some sort of terminal,with a huge ship lying next to it.
I suspect you would have gone past the Ocean Terminal [large building in photo], however depending on whether you were coming from the east or western ends of the docks,... From the western end you may have seen
A cruise Liner, or special purpose ship at a smallish building, or older wooden one by the flour mill [HM Customs]- The other small building is now the Cruise Liner terminal [close to Ocean Terminal]. From this side, the Ocean terminal will be on your left. Going to the King's theatre would be a matter of going to the next exit at Constitution St and then up Leith Walk into Edinburgh. Coming from the Eastern end [Constitition St] the Ocean Terminal and other buildings are on your right. It's only a short journey up to Leith Walk/Edinburgh from there. Hope this helps.