It is set up inside the ancient church of San Juan de los Caballeros (11th-13th centuries). Structured in three naves with a three-headed apse. It also has arcades heading south and west. In the last one, it’s worth pointing out the Gothic doorway. It preserves remains of a Visigoth church (6th century)

It was saved from collapsing by the artist Daniel Zuloaga, who set up there his workshop.

In the museum, the visitor can find paintings from Ignacio Zuloaga, and oil paintings, watercolour paintings and ceramics of Daniel and his sons. Inside the church we may find also the burials of the Nobles Linajes (Noble Lineages) people, to whose founders, Fernan Garcia and Dia Sanz, the legend attributes the conquest of Madrid.