The Palazzo Massimo alle Terme holds collections of Ancient Roman works of art, coins and jewellery belonging to the Museo Nazionale Romano which were previously displayed in the Museum's Terme di Diocleziano complex.

The transformation of Palazzo Massimo into a museum began in 1981, thanks to a grant made by the Italian Government for the preservation of Ancient Roman artefacts and works of art. The late 19th-century palace, built by Camillo Pistrucci for Prince Massimiliano Massimo on the site of the Renaissance Palazzo Peretti-Montalto, served previously a college run by the Jesuits.