Maharaja Sayajirao III commissioned Major Charles Mant (also known as 'Mad' Mant for his eccentric work) to build the Lakshmi Vilas Palace, which was later finished by R.F. Chisolm. It was built in the Indo-Saracenic tradition, with an eclectic mix of Indian, Islamic, and European elements, as if, as Philip Ward writes, "an architectural Paul Klee had taken solid lines for a walk".

The imposingly impressive interior is full of multi-coloured marble, mosaic tile and various works of art and the courtyards of palms and fountains have arched entrance-ways big enough for "the tallest elephant with the largest howdah on his back" to pass through, as reported by Edward Weeden, one of the earliest Europeans to stay in the palace. The palace grounds include a golf course and Sayajirao's personal museum, containing, among other displays, original paintings by Raja Ravi Varma.