On 29 April 1875 King Alfonso XII inaugurated the Anatomical Museum, although it came to be commonly known as the Anthropological Museum. Its foundation was the result of the personal initiative of Doctor Pedro González Velasco from Segovia, who invested all his savings in the construction of the building, designed by the Marquis of Cubas. At that time the collections were made up of objects pertaining to the three "kingdoms" of Nature – the mineral, vegetable and animal - and samples of physical and teratological anthropology, as well as antiques and ethnographic objects, so that it could be considered as a typical "cabinet of natural history".
Following the doctor’s death in 1882, his widow and his disciple Doctor Pulido negotiated the sale of the building and all its contents with the State. This was finally completed in 1889.