The museum was found on 10 March 1806. That day Emperor Alexander I signed a decree "On rules of Administration and Preservation of the Valuables of the Workshop and the Armoury Chamber" that accomplished the process of the royal depositories' transformation into a museum, started by Peter the Great. The same year on the place of the Trinity Court, upon the project of architect I. Egotov, construction of a special museum building was started. Having been constructed in the classical style, the building of the Armoury Chamber successfully completed the ensemble of the Senate Square. The concept forming of the staff and carrying out of the basic activity for the museum’s creation was realized under the supervision of secret councillor P.S. Valuev. By 1810 the construction work was completed. However, it was not possible to open a museum in the new building. In June 1812, the Napoleon army invaded Russia as well as Moscow. The Royal treasury was transferred to the city of Nizhniy Novgorod.

Exhibits safely returned to Moscow by summer 1813, and in 1816 the first museum exposition was open for visiting through the efforts of an outstanding statesman, senator and patron of arts N.B. Yusupov. The ground floor of a two-storeyed building of the Armoury Chamber represents an archive, a depository and a model of the future palace - the unrealized project by V.I. Bazhenov for Catherine II. In 1834, twelve old equipages were housed in a special annexe built to adjoin the ground floor. The main exposition was placed on the first floor, it included collections of the State regalia, "crowns of the conquered reigns" (Cap of Kazan, Siberian Cap, etc.), ambassadorial gifts, arms and armour collection (swords, shields, arms, armour, flags etc.) as well as memorial items and belongings of Russian Tsars and Emperors.

According to the highest decree of Emperor Nicholas I on 22 August 1831, the museum was renamed "The Moscow Armoury Chamber". In 1838-1851, a new palace complex in "national Russian" style was erected in the Kremlin on the project of K.A. Ton. It included the Grand Kremlin Palace, a building of apartments and a convenient and gorgeous building of the museum—the Moscow Armoury Chamber. 

In 1851, the new building of the Armoury Chamber was constructed under the project of architect K.A. Ton. In 1858, "Rules on the Management of the Moscow Armoury Chamber", basically constant till 1917, were ratified. In 1852 the museum exposition was placed in the building of the Armoury Chamber, which became the representational component in the whole Grand Kremlin Palace's complex as the Royal Treasure House.

Curators of the museum were responsible for the condition and preservation of the museum collections. About ten years continued the work on scientific research of the museum exhibits and edition of the multivolume Inventory (1884-1893). The authority of employees of the Armoury Chamber among researchers was very high. A.E. Viktorov, G.D.Filimonov, А.М. Pavlinov, V.K. Trutovsky, A.I. Uspensky were the members of the Imperial Moscow Archaeological Society. V.K. Trutovsky was the chairman of the Moscow Numismatic Society.