One of the two museums in the Sayaji Baug is the famous Vadodara Museum and Picture Gallery, built in 1894, one of the various buildings peppering the city that was commissioned by Sayajirao and designed by Mant and Chisholm. Sayajirao travelled widely and commissioned various dealers and scholars to find objects to build a wide-ranging collection with everything from Mughal miniatures, to sculptures, textiles and objects from Japan, Tibet, Nepal, and Egypt and coins from all over the world to exhibits of the Indian musical instruments. There are also exhibits on Earth Sciences, Natural History and Zoology.

One of the highlights is the 22m long blue-whale skeleton found in 1972 at the mouth of the River Mahi, most likely washed up in a storm. The Ethnography section has exhibits about tribes from Gujarat: the Rabaris, Gamits, Bhils, Chaudhuris and Wagharis. The museum library has nearly 23,000 books and periodicals on a range of subjects, some of them extremely rare.

The Picture Gallery displays paintings by European masters, mostly from Sayajirao's private collection. There are also two wings on modern paintings.