The are not many examples of museums composed of a group of historical buildings in the heart of the city.
The Museum occupies all the pedestrian street and it is divided into three sites:
- The College of San Gregorio, jewel of the peninsular architecture of the fifteenth century.
- The Villena Palace, noble residence of the sixteenth century.
- The Casa del Sol and the church of San Benito el Viejo, also dating from the sixteenth century, residence and funeral chapel of the Count of Gondomar, a powerful personage of the government of Philip III.