Museumsbygningen dates from the early 20th century and was built as a private art gallery for Johan Hansen in the gardens of his villa just north of the historic centre of Copenhagen.

The location, on the north-east side of Garnisons Kirkegård, is interesting. The land between the sea and the end of Sortedams Sø, the northernmost of the line of lakes around the west and north side of the city, had been open land just outside the east gate of the city. In the late 17th century a military cemetery was set out on the east side of the road north from the east gate, and was a pair to the naval cemetery, Holmens Kirkegård, on the west side of the road.

Just beyond the cemeteries, from the corner of the lake, a road ran east straight down to the sea shore on the line of what is now Classensgade. In the late 18th century Major General Johan Frederik Classen, a wealthy armament manufacturer, owned much of the land and had a house and garden here. From that road a road or lane cut back down at an angle towards the ramparts on the north side of the Kastel on the line of what is now Kastelsvej and it was here, on a triangle of land between Kastelsvej and the east side of Garnisons Kirkegård, that Johan Hansen had his house and garden.

Johan Frederik Christian Hansen (1861-1943) was a member of the city council, a Consul General and a government minister for trade but his wealth came from a shipping company established by his father.

In 1915 he purchased a house that had been built in 1891, designed by Martin Nyrop (1849-1921) the architect of the City Hall among many other important buildings in the city. Hansen had an extensive collection of art and it was to house that collection that he had built an art gallery as a free-standing building in his garden designed by the architects Einar Madvig and Poul Methling and addition that doubled the size of the gallery was completed by 1920.

An inventory of Hansen's collection of Danish Art was published in 1917, 1921, 1927 and 1931. However, between 1932 and 1934 the collection was sold by auction in 13 lots with the catalogue of over 2,500 paintings produced by Winkel and Magnussen.

The house was sold and demolished in 1936 and there is now a modern apartment building on the site but the gallery survived to be used at first as a store by the National Gallery and then, somehow appropriately, by an auction house. Since 2013 it has been a private commercial gallery run by Banja Rathnov and has a number of exhibitions through the year that include art, ceramics and photography.

The entrance is now from Kastelvej and there are two lines of galleries most top lit but those towards the former gardens also with tall windows so natural light through the galleries is good. There are six almost-square spaces in line from the present entrance, in what appears to be a first phase of construction. and then parallel, on the garden side in a red brick addition, three small square rooms at the centre flanked by larger galleries on each side.