Maharaja Sayajirao Gaekwad III founded the museum in 1887 and opened it to the public after completion in 1894. The famed art gallery is known to have been completed in 1914 but was not opened until 1921 the transfer of special pieces from Europe that were intended to adorn the walls of the gallery were delayed due to the First World War.
The museum was built in 1894 to resemble the Victoria & Albert Museum of London. The building was designed by Major Mant and R.F. Chisholm. It preserves a rich collection of art, sculpture, ethnography & ethnology. The picture gallery has diverse works of art from both India and abroad, including works by British painters J. M. W. Turner and John Constable, a gallery of Tibetan art, Akota bronzed dating to the fifth century AD, and a collection of Mughal miniature paintings.