In its heyday, the Cerralbo Museum was the palace where the 17th Marqués de Cerralbo (1845-1922) lived with his family. In his will, the Marquis bequeathed the palace and all its collections to the state. The building, inspired by the model of the French hôtel particulier, was finished in 1893 under the Marquis's personal supervision.

The house museum and garden has thirty-five rooms spread over three floors, and visitors are invited to learn about the way of life and artistic tastes of late 19th-century Madrid aristocracy. There is a surprising diversity of items on display: from, sculptures, archaeological items, paintings from the main 16th to 19th century European Schools, weapons and armour to a broad selection of decorative arts from various periods and styles, such as clocks, lampshades, ceramics, furniture, carpets and tapestries.