The museum is housed in the Palácio Alvor, built in the late 17th century at the behest of the first Count of Alvor, after his return from India, where he had served as Viceroy. The palace remained in the hands of the family until the mid-18th century, when it became the property of a brother of the Marquis of Pombal, Paulo de Carvalho, before becoming the residence of a rich diamond trader, Dutch consul in Portugal, Daniel Gildemeester.

During the 20th century the building has been adapted to the needs of the museum.

For more detailed informations, see website