Despite an earlier unmaterialised project for a museum dated from 1844, the institution was created like many of the Spanish provincial museums in 1867, in this case as a re-foundation of the "Comisión Provincial de Monumentos", yet it did not however take its true form until 1869, when the museum received a number of artifacts from the excavations at Los Cercos. Until then, the reduced collection had been displayed at the plenary hall of the provincial deputation.
The ownership of the museum was passed from the provincial deputation of Badajoz to the directorate of State Museums in 1938, during the Spanish Civil War.
Following a number of moves along history, the museum opened at its current premises at the Palacio de los Condes de la Roca (within the walled bounds of the Alcazaba of Badajoz) in 1989. Also in that year, the transfer of the museum's management (not the ownership) to the Junta of Extremadura was sealed by means of an agreement signed by the Ministry of Education, Culture and Sport and the autonomous community of Extremadura.[7]