The São Roque Museum was one of the first art museums to be created in Portugal. It opened to the public on January 11, 1905, with the designation  Museum of the treasure of the Chapel of São João Baptista, evoking the important collection of Italian art that was at the origin of its creation. Since its opening, it has been installed in the building of the former Casa-Professa da Companhia de Jesus in Lisbon, a space adjacent to the Church of São Roque, which had been donated to the Santa Casa da Misericórdia in Lisbon in 1768, after the expulsion of the Jesuits.

Throughout the twentieth century, it has undergone several renovations, which have made possible to monitor changes in the field of museology. The most extensive remodeling was carried out between 2006 and 2008, allowing the museum to expand and double its permanent exhibition area.