The museum was founded in 1867 by a Royal Decree of Isabella II, and its purpose was to be a depository for numismatic, archaeological, ethnographical and decorative art collections compiled by the Spanish monarchs.
In 1895 all the funds were definitively moved to the current venue, a neoclassical building projected by architect Francisco Jareño and built from 1866 to 1892. In 1968 were started renovation and extension works that considerably increased its area. The building is under reconstruction again as of 2008, with only the highlights from the collection being shown.
