The Museum is housed in a building of great historical significance: the Palace of King Henry IV of Castile, built in 1455.
After the death of the King, the building was divided up among several families and adapted to the needs of each, thus irrevocably destroying the original unity of the whole.
In 1518 Pedro López de Medina and his wife, Catalina de Barros, decided to found a Hospital for the Aged on their share of the property. The Chapel with its original Hispano-Moorish carved wooden ceiling and recumbent marble statues of the founders is now the auditorium of the Museo.
Over the years, the building, which had always been linked to the living history of the city, had undergone several transformations.
Finally, in 1974, it was closed due to the deterioration of the entire edifice.