The palace was built in 1912 by the architects Julián de Apraiz and Javier Luque, designers of the New Cathedral of Vitoria-Gazteiz.

[citation needed] In 1912 the Augustin-Zulueta matrimony (Elvira Zulueta and Ricardo de Augustin) begun the construction of their private dwelling in the Fray Francisco promenade.

Elvira came from a wealthy family, and after his marriage with the lawyer from Madrid Ricardo de Augustin in 1905, they both decided to erect their personal palace in the noble zone of Vitoria-Gazteiz.

Due to the fact that they had won the competition to restore the New Cathedral of Vitoria, they were the most remarkable architects in the city.

In 1941, the Regional Council of Álava bought the Augustin Zulueta Palace and prepared it to be the Museum of Fine Art.

The Augustin Zulueta Palace is known to be a good example of the historicist architecture, in which are involved many kind of styles and influences.

In 2000, the entrance to the palace was made more accessible for handicapped people, as it was needed to climb ten steps to enter the building.