When founded in 1845, the Société pour la recherche et la conservation des monuments historiques dans le Grand-Duché de Luxembourg sought to gather historical and archeological documentation not only of the Grand Duchy, but also of “the territory of the ancient Duchy of Luxembourg”, beyond present-day state borders. These remains were to be collected in a “museum”, a small room adjacent to the Athénée school library. Two founding members of the Society, François Xavier Wurth-Paquet (1801–1885) and Antoine Namur (1812–1869), launched a patriotic appeal to the people of Luxembourg, and more specifically to the owners of family archives, to hand over “the remains of the past” to the Society in order “to build the national monument we lack”.

Over time the Society accumulated an important collection of antiques, coins, medals, seals, arms, armories and works of art, but housing and funding were problematic. In 1927 the collections were donated to the state in order to ensure wider public access in the government-owned Collart-de-Scherff House in Luxembourg City.

Prior to the opening of the Musée d’Etat (“State Museum”) in 1939, there had been few historical exhibitions, such as the “Exposition de salles paysannes” (1904) by Charles Arendt (1825–1910) and a project for a museum of peasant life by the “Landwuôl” association (1924). “National” museums in Luxembourg were not a creation of the “Romantic” 19th century, but were a designation of national importance given in the 1980s to the Musée national de la Résistance in Esch/Alzette, the Musée national des Mines in Rumelange (founded in 1956 and 1973 respectively) and the State Museum (re-opened in 1946, “national” since 1988).