The Velázquez Palace, located in the Retiro Park, is part of the Reina Sofía Museum group of exhibition spaces. After closing for five years to allow restoration and extension work to take place, it re-opened in 2010. It is a space for temporary exhibitions of contemporary art to which entrance is free of charge.

This unusual building dating from 1883 is the work of Ricardo Velázquez Bosco, who was commissioned by the Ministry of Development to design the main pavilion for the International Mining, Metallurgic Arts, Ceramics, Glassworks and Mineral Waters Exhibition. It was built following the governing principles of cast-iron and glass architecture.