The State Historical Society Museum, which now resides in a former department store at 30 N. Carroll Street on the Capitol Square, used to be a part of the State Historical Society building at the end of State Street on Library Mall. The museum was moved and opened at its new location in April 1986.

Before moving, the museum was in the basement and on the fourth floor of the famous Historical Society building. In fact, the Historical Society Museum's collections are still stored in the Historical Society building's basement today when they aren't being exhibited at the Capitol Square location.

Construction on the Historical Society building began in 1896, and it was completed and opened to the public in October 1900. The building was actually constructed to house and create more room for the Historical Society, its library and its collections, as well as to create space for the university library. A campaign for the construction of this building began because of the Historical Society's frequent moves around the Madison area and intense overcrowding of the university library. T.C. Chamberlin, the university's president at that time, made the suggestion to house the Historical Society and the university library in one building at a location close to the university campus.
There was an architectural competition for the construction of the Historical Society building that was eventually narrowed down to two firms. In the end, the Historical Society was built based on a design created by the Ferry and Clas architectural firm. Ferry and Clas had originally submitted a domed design for the building, but later removed that idea and replaced it with skylights to beat out the other architectural firm.

Again because of overcrowding, the university library moved out of the Historical Society building in 1952. Later, for the same reason, the society's museum moved out to its current Capitol Square location. Despite these moves and a few renovations, the Historical Society building has stood the test of time and has become a staple of the University of Wisconsin-Madison campus area for over one hundred years.