On the death of Queen Victoria in January 1901, Lord Curzon, who was then Viceroy of India, placed before the public the question of setting up a fitting memorial to the Queen. He suggested that the most suitable memorial would be a "stately", spacious, monumental and grand building surrounded by an exquisite garden.    

This was to be a historical museum where people could see before them pictures and statues of men who played a prominent part in the history of this country and develop a pride in their past.

The princes and people of India responded generously to his appeal for funds and the total cost of construction of this monument amounting to one crore, five lakhs of rupees, was entirely derived from their voluntary subscriptions.    

Sir William Emerson, President of the British Institute of Architects, designed and drew up the plan of this building, while the work of construction was entrusted to Messrs. Martin & Co. of Calcutta. Vincent J. Esch was the superintending architect.

King George V, then the Prince of Wales, laid the foundation stone on January 4, 1906 and it was formally opened to the public in 1921.