Construction spanned the years 1738 to 1755 and followed a Berniniesque design by Filippo Juvarra and Giovanni Battista Sacchetti in cooperation with Ventura Rodríguez, Francesco Sabatini, and Martín Sarmiento.
24. december 1734 je bil požgan in kralj Filip V. je odredil zgraditi novo palačo na istem mestu.