It houses some 2,000 works, most dating from the 14th–17th centuries, including a Self portrait of Diego Velázquez, a St. John the Baptist by El Greco, Goya's Playing Children, Gonzalo Pérez's Altarpiece of Sts.

Ursula, Martin and Antony and a Madonna with Writing Child and Bishop by the Italian Renaissance master Pinturicchio.

It houses a large series of engravings by Giovan Battista Piranesi.

The museum is in the St. Pius V Palace, built in the 17th–18th centuries.

It has also sections dedicated to sculpture, to contemporary art and to archaeological findings.