It is housed in his former palace, Palazzo Cuomo (or Como) on Via Duomo, by the church of San Severo al Pendino.

It was built between 1464 and 1490 by the Florentine Giuliano da Maiano for a wealthy merchant, Angelo Como (or Cuomo).

In 1881–82, during the urban renewal of Naples, the entire building was dismantled and moved back some 20 meters to widen the street.

The museum was inaugurated in 1888 by Gaetano Filangieri Junior (1824–92), principe di Satriano.

Among the artists with paintings in the Museum are Jusepe de Ribera, Bernardino Luini, Fedele Fischetti, Francesco Solimena, Francesco Jerace, Lorenzo Vaccaro, Filippo Tagliolini, Gesualdo Gatti, and Luca della Robbia.