This museum traces its history back to 1530.

In that year, Friar Juan de Zumárraga acquired two houses built by the conquerors Andrés Núñez and Martín López, on the ruins of the Tezcatlipoca pyramid. The Mexico Bishopric was established in these rustic buildings, which became the second one founded in New Spain. This building remained as the residence of the Mexico Archbishopric for almost four centuries.

Since the second half of the 16th century, the property underwent significant changes and expansions. It housed ecclesiastical prisons, a bell foundry workshop, and other dependencies. In 1629, due to a flood, the building was reconstructed, and in 1861, it became part of the national heritage, being occupied by various government offices.

In 1994, it was inaugurated as the Museum of the Secretariat of Finance and Public Credit, the Former Archbishop's Palace, to house and exhibit unique collections ranging from an extensive collection of everyday viceregal pieces to various 20th and contemporary century paintings.

There are works by Diego Rivera, Raúl Anguiano, Rufino Tamayo, Agustín Lazo, Angelina Beloff, and Lola Cueto. Additionally, there are works by José Chávez Morado, Francisco Corzas, Vicente Rojo, Cordelia Urueta, Vicente Gandía, Luis Nishizawa, and Roger von Gunten.