The collection has its origins in the Queen's Royal Lancers Regimental Museum which was established at Belvoir Castle in 1964.

[1] After the lease at Belvoir Castle expired in October 2007, the trustees of the collection sought funding from the Heritage Lottery Fund to finance a move to Thoresby Hall where the Stonebridge Trust, which manages the courtyard there, offered a 25 year lease.

[2] Princess Alexandra opened The Queen's Royal Lancers and Nottinghamshire Yeomanry museum at Thoresby Hall in July 2011.

[3] In November 2023, thieves stole a haul of "priceless" silver military antiques by cutting through the museum's floor.

Among the items stolen from the museum are a distinctive parcel and gilt rosewater dish - said to be the sister piece to the Wimbledon women's singles trophy.