Built around 1860 by doctor José Martins Rocha, the house is sold to the Portuguese industrial José Francisco Correia - Viscount of Sande and then Earl of Agrolongo (titles received in Portugal).

In 1903, the earl moves to Portugal and makes the property available for auction including all its assets, but no buyer makes an offer. In the same period of time, the capital is transferred from Petrópolis to Niterói, and the Governor Nilo Peçanha decides to achieve the small palace to be used as the Government's headquarters. The sale is settled in 1904. During the following 71 years the palace is occupied by 43 individuals among temporary Governors and Federal Mediators.

The purpose of the palace is lost with the union established. The first Union Governor - Vice Admiral Faria Lima - creates the Museums Foundation of Rio de Janeiro State, and Nilo Peçanha Palace is used to implement the Museum of Popular Arts and Traditions, which was inaugurated on March 18th of 1976, and the Historic Museum of Rio de Janeiro State, inaugurated on March 23rd of 1977.

They operated as separate administrative units, although situated in the same space. However, in 1991 through a decree the museums became one unit with the denomination of Museum of History and Art of Rio de Janeiro State.

The collection comprised approximately 4,800 works, among furniture, china, garment accessories, crystal items, sculptures, photographs and numismatics; it was granted the right of use from Lucílio de Albuquerque Pinacotheca with about 120 pieces by several artists, such as Iberê Camargo, Navarro da Costa, Ângelo Bertoni, Antônio Parreiras, Jordão de Oliveira Nunes, August Petit, Francisco Pons Arnau, Georgina de Albuquerque, Dakir Parreiras and Quirino Campofiorito. Among the various popular culture expressions, the following stand out: garment items and complimentary items for revelry and folk dances, handicraft from the state of Rio de Janeiro and other states, domestic and rural work instruments, Afro-Brazilian objects, objects that represent popular festivities, adornment and domestic utensils, toys, ex-votos, Cordel literature (Literatura de Cordel - string literature - popular poetry sold hanging on strings), indigenous handicraft, etc.

Among this varied number of pieces, we can highlight the works of Mestre Vitalino, Zé Caboclo, Carrancas do Guarani, and sculptures by Mudinho. There is also an engraving workshop and one sculpture workshop run by the plastic artist Maurício Bentes, besides courses, theater, music, several exhibits and varied events.