Its history dates back to the foundation of the park in 1606 but it was adapted to its current Neoclassical style by Caspar Frederik Harsdorff in 1773 after the gardens had been opened to the public.

The sculpture was created by the Italian sculptor Giovanni Baratta from whom it was acquired by King Frederik IV during his visit to Italy.

[1] In 1671, King Christian V converted the pavilion into a hermitage, a place where the royal family could dine in the absence of servants.

[1] Towards the end of the century, a small ale house opened in the pavilion and in 1810 confectioner H. C. Firmenich received a licence to serve tea, punch, lemonade and other refreshments to the garden's visitors.

The facade is dominated by Giovanni Baratta's statue of Hercules from which it takes its name, which is located in a deep niche flanked by Tuscan columns and two smaller niches with statues of Orpheus and Eurydice, also designed by Baratta and brought home by Frederick IV.