It was designed by Caspar Frederik Harsdorff and built from 1780 to 1781 for the Danish West India Company, a chartered company responsible for trade on the Danish West Indies.

The King's Room (Danish: Kongeværelset) is located on the eighth floor of the warehouse and is the former meeting room of the trade commission which managed the West India Company.

[citation needed] The wallpaper depicts guava leaves and fruits which were imported from the West Indies.

The three lower floors are dedicated to the Royal Cast Collection which exhibits more than 2,000 plaster casts of sculptures and reliefs from museums, temples, churches, and public places around the world.

The upper floors display costumes from the Royal Danish Theatre.