The museum is built around the private collection of C. L. David (1878–1960), a barrister of the Danish Supreme Court. The building in Kronprinsessegade which houses the museum used to be the private home of the founder and was originally bought in 1810 by his great-grandfather, C. N. David, but sold again in 1830. In 1917 it was re-acquired by C. L. David, who took up residence in it but also made his collection available to the public at the upper floors of the building.