In 1934, Dr. Manuel Cayola Zagallo, curator of the Palácio da Ajuda, undertook a study mission that resulted in the inventory of a very large part of the Flemish paintings scattered throughout the churches and chapels of the Funchal Diocese. This brought attention to the extraordinary collection of art found here, and with the support of the Bishop of Funchal, D. António Pereira Ribeiro, and the government entities of that time, the Junta Geral of the Autonomous District of Funchal, the works were sent to Lisbon to be restored.

Following important conservation and restoration work done by the atelier of Fernando Mardel, an exhibition was organised in 1949, which showed this collection for the first time at the National Museum of Ancient Art. This was the initiative of its director, Dr. João Couto, who had accompanied the study of the pieces.
After their return to Funchal, they were displayed in a room of the Cathedral, shortly before being moved to the museum, which was inaugurated on 1 June 1955.

Beginning in the 1940's, a simultaneous survey was being made of the collections of sculptures and goldsmithery of the Funchal Diocese, such as the work of Luíz Peter Clode, which resulted in the publication of some catalogues that were truly rare on the national scene. In 1949, Lampadários – Património Artístico da Ilha da Madeira was published, and exhibitions were held at the Convent of Santa Clara in Funchal. Sacred goldsmithery was shown in 1951, and Religious Sculptures in 1954, jointly organised by Luíz Peter Clode and Father Pita Ferreira. In this way, besides the mass arrival of works of Flemish art, many other works of Portuguese art could also enter, with the support of the diocese. These works were brought for the exhibitions already mentioned, or for other reasons, such as their particular artistic importance, or because they were not used in the worship. This effort continued on over the decades, and progressively many works were added to the collections of the Museum, which still takes place today.

Besides this source of items, a few pieces, smaller in number, have come to the Museum by private donations, and some of the collections have been reinforced by the sporadic acquisition of items.
The publication in 1997 of Catálogo de Arte Flamenga, by Luiza Clode and Fernando António Baptista Pereira was a fundamental work of research.