Starting in 1925, the museum had a permanent exhibition in the attic of Copenhagen City Hall. As the collections grew, the attic became too small and in 1956 the museum moved to the former building of the Royal Shooting Society. The former shooting range became a public park, still known as Skydebanehaven. In 1984, the museum took over the former Maria Kruuse School in the adjacent Absalongade. It is now used for administration as well as the museum's archives. Part of the street was turned into a museum street featuring historic street furniture. In 2018, the museum was moved to a new location, right behind the city hall.