It was founded in 1819 by Jean-Baptiste, marquis de Montgrand and Christophe de Villeneuve-Bargemon, prefect of the Bouches-du-Rhône department. It is located in the Palais Longchamp, 4th arrondissement of Marseille, built according to the plans of Henri-Jacques Espérandieu.

The museum was created in 1819. It has been located at various places, including the Chapelle des Bernardines, before settling in 1869 at the Palais Longchamp, which it shares with the Musée des Beaux-Arts.

The museum is now under the supervision of the Ministry of Higher Education and Research. It was classified as a museum of France in 2002.