The historical building that houses the museum was originally the San Pío Seminary College, founded in 1683 by Brother Juan Tomás de Rocabertí, the Archbishop of València. The architect Juan Bautista Pérez Castiel, master of works on the Cathedral, was responsible for its design. Building work was carried out between 1683 and 1744, although the church was partly demolished in 1925.
The building has been used for three different purposes: A Military Cadet Academy, a Charity Centre, an army supplies storehouse and a Military Hospital, until 1946 when it was chosen to be used for the Museum of Fine Arts. The artistic journey begins with a selection of the so-called Primitivos Valencianos (medieval painters), which covers the period between the end of the 14th and the beginning of the 16th century, displaying the work of such emblematic artists as Alcanyís, Nicolau, Jacomart and Reixach among others. Also exhibited are the works of painters from the Valencian School such as Joanes, los Ribalta, Espinosa, Vicente López, Soralla, Pinazo and others.
Other exhibits include works by Pintoricchio, Andrea del Sarto, Van Dyck, Murillo, Velázquez, El Greco and Goya. Also displayed is a wide collection of drawings and etchings as well as sculptures, archaeological pieces, architectonic fragments and some examples of portable art.