Initially, the site of the palace of Ajuda was a wooden structure built for the royal family, who decided to move here after the earthquake in 1755. This building was also called "Royal shack" or "Wooden palace." A fire destroyed it in 1795, and in its place was built a stone palace.

The building began to be built by the architect Manuel Sita de Souza, who was planning to do it in the late Baroque - Rococo. A little later, the construction continued architects Jose da Costa and Francisco Xavier Fabri, but the building has been built in the neoclassical style. Construction continued until 1807 and was not finished. The palace was captured by Napoleon's troops and the royal family was forced to leave Portugal and to take refuge in Brazil. Construction proceeded slowly, sometimes stopped, changed the appearance of the palace in view of the fact that at each stage of the construction was another architect. In 1826 the palace again became a royal residence. In 1910 the palace was closed after the proclamation of the Republic and has opened as a museum in 1968.

The museum houses a magnificent collection of works of art from the XV and ending XX century. Rooms of the palace are decorated with furniture in the style of Louis XV, tapestries and statues. In the palace of a lot of extravagant items of decorative art. Such an abundance of luxury was the result of unprecedented wealth in the XVIII century, when for the first time in Brazil were discovered diamonds. The breathtaking Winter Garden, Ballroom, Room Ambassador, as well as banquet and Throne Hall.

Until now, the Palace is used by the Government of Portugal for official ceremonies.