The San Donato museum is part of the complex of buildings that house the historic headquarters of Banca Monte dei Paschi di Siena: in a renovated space in the seventies of the twentieth century by the Florentine architect Pierluigi Spadolini. This hall was originally a church, deconsecrated in the early nineteenth century when, following the Napoleonic suppression, was used as a storage of carriages. In 1925, the establishment was purchased by the Bank and to house the Historical Archives; today the "San Donato" houses part of the Art Bank collection.

In 2011 work was carried out to adapt these spaces to modern museum standards, in order to ensure greater safety and preservation of heritage, and has been proposed a new exhibition based on chronological criteria, in order to offer the visitor a vision organic Sienese art.