It was founded in 1818 in Mitau (since 1917 Jelgava), at that time the capital of Courland Governorate of Russian Empire.
In 1916, Jelgavas loža "Pie vācu zobena Austrumos" [lv] was established in the museum hall.
During the emigration of the Baltic Germans on November 4, 1939, the Minister of Public Affairs of Latvia A. Bērziņš issued an order to liquidate the Kurzeme Literary and Art Society.
Only the portraits in the museum hall were allowed to be removed from the values owned by the society, except for the portrait of Johann Reinhold Patkul and one work by Janis Rozentāls, as well as paintings by German authors, "Academia Petrina" and later gymnasium professors, pastors, copper engravings the whole library.
After the Soviet occupation of Latvia in 1940, in the autumn of the same year the Kurland Provincial Museum building was handed over to the Latvian SSR People's Commissariat of Education.