The construction project for the Ajuda Palace, dating from 1802 during the regency of Prince D. João (future King D. João VI), is the work of architects Francisco Xavier Fabri and José da Costa e Silva, and later also included the collaboration of António Francisco Rosa. It is a neoclassical building.

Despite the originally planned size of the Palace, which would have made it one of the largest European royal palaces, it ended up being substantially reduced to the form we know today.

Various factors successively delayed the work, notably the departure of the royal family for Brazil during the French invasions in 1807 and the chronic lack of financial resources.

Despite this, the best artists of their time worked there: Domingos Sequeira, Arcângelo Foschini, Cirilo Volkmar Machado, Joaquim Machado de Castro and João José de Aguiar, responsible for the pictorial and sculptural decorations.

When the court returned from Brazil in 1821, the palace was still unfinished, but protocol ceremonies were already being held there.

It began to be inhabited in 1826, first by the Infanta Regent D. Isabel Maria de Bragança (1801-1876) and two of her sisters, as well as by D. Maria Francisca Benedita de Bragança (sister of Queen D. Maria I) who died here in 1829.

Two years later, King Miguel I established his residence here, and was responsible for continuing the works on the palace.

It was only in 1844 that the last construction campaign took place, although two of the reigning monarchs (D. Maria II and D. Pedro V) used the Ajuda Palace only for official ceremonies, preferring to reside in the Necessidades Palace (today the Ministry of Foreign Affairs).

With the ascension to the throne of King Luís I (1838-1889), the Ajuda Palace became the main residence of the royal family and the court. In 1861, its structure underwent renovations (as it had been uninhabited for many years) to accommodate the new monarch. Following the king's marriage to the Italian princess Maria Pia of Savoy (1847-1911) in 1862, the new queen oversaw its exquisite decoration and the acquisition of many of the works of art that, together with those acquired by her husband, we can appreciate today.