The building housing the Museum was built to the design of municipal architect Carlo Barabino in 1826, on the area once occupied by the convent adjacent to the 14th-century church of San Domenico. Its austere neoclassical façade was intended to blend in with the lines of the neighbouring Opera House, built to a design by the same architect in 1828.

The building's interior magnificence is today certainly diminished by the demolition of the “Rotonda”, originally visually connected to the staircase by a large archway.