The museum was founded in 1800 in The Hague to exhibit the collections of the Dutch stadholders. It was inspired by the French example. By then it was known by as the 'National Art Gallery' (Dutch: Nationale Kunst-Gallerij).
In 1808 the museum moved to Amsterdam on the orders of king Louis Napoleon, brother of Napoleon Bonaparte. The paintings owned by that city, such as The Nightwatch (Dutch Nachtwacht) by Rembrandt van Rijn, became part of the collection.
In 1885 the museum moved to its current location, built by Dutch architect Pierre Cuypers. He combined gothic and renaissance elements. The building is richly decorated with references to the Dutch art history.