The collection on display contains around 1,500 exhibits on archaeology, ethnology and fine arts.
The museum was created in 1842. Highlights of its collection include a pair of Celtiberian boars, Roman mosaics, Visigoth enamels, and a series of panels by 15th- and 16th-century Castilian and Flemish painters, as well as important collections of coins. There are also crystal and glass items from the Royal Factory at La Granja de San Ildefonso, along with religious sculptures and engravings by Dürer and Rembrandt. The museum has changed sites on numerous occasions before coming to its current venue, a fortification in the city wall known as the Casa del Sol. It has a subsidiary, the Zuloaga Museum, which is housed in one of the most ornately decorated Romanesque churches in Segovia.