The palace is literally soaked in history. The building itself gives evidence of large number of fundamental historical and architectural stages of the city development, which makes it a unique historical building of a great value. In the basement one can see the evidence of Celtic settlement (oppidum) from the 1st century AD: the shaft used for the storage of food, grave and discoveries giving evidence of the immediate nearness of a mint. The Roman period is illustrated by a large number of secondary building materials used in the walls of the palace that are visible in the preserved early medieval walls of the Roman palace from the 13th century. The rescue excavations carried out between 1981 and 1987 revealed the basis of a Gothic palace with a chapel in the basement and on the first floor of the building: stellar vault from the 15th century. Part of masonry from the 15th century can also be seen on the third floor in the exhibition room. The Slavonic period left its traces in the basement: discovery of four graves from the 9th and mid-10th centuries. Other building alterations date back to the 17th and 19th centuries (in late Classicist style).
In the 18th century, the palace passed to the ownership of the Pálffy family that used it for representational purposes until the breakup of Austro-Hungarian Empire.
After the death of last owner, count János Pálffy, philanthropist, supporter and collector of art, the palace underwent extensive reconstruction and in 1987 it was assigned to the City Gallery of Bratislava.