The museum is housed in a designated historic building in Seoul, constructed in 1912 and previously the head office of the Bank of Korea.

During the Korean War, the building suffered major damage from air raids, but was repaired from May, 1956 to October, 1958.

From 1987 to 1989, the facade and roof of the building were restored to their original design, while the interior was somewhat altered by replacing plaster with marble.

While constructed mainly in concrete and steel, the outer walls were entirely made in granite harvested outside Heunginjimun Gate in Seoul.

[1] The main entrance is greatly protruded from the facade to accommodate automobiles and is supported by four Tuscan order columns, while the three out of four corners of the building are respectively flanked by three towers with domes and finials.