The building was constructed between 1894 and 1897 based on the design of architect and secretary of the Petersburg Society of Architects, civil engineer A. P. Maximov. The funding for the construction was provided by the capital bequeathed to Penza by the former governor, General-Lieutenant N. D. Seliverstov. The site for the construction was chosen by Seliverstov's executor, senator P. P. Semenov, better known as the traveler and geographer Semenov-Tyan-Shansky. He became the lifelong curator of the school. The construction was overseen by Penza diocesan architect A. E. Ehrenberg.

The official opening of the drawing school named after N. D. Seliverstov, as the school was originally called, took place on February 2, 1898. On the same day, the art and industrial museum, or picture gallery, opened, which moved here from the building of the crafts school named after F. E. Shvetsov on Nikolskaya Street.

The first director of the school was the itinerant artist and academician of painting K. A. Savitsky. Thanks to him, as well as the itinerant artist N. K. Grandkovsky, sculptor K. A. Klodt, painter P. I. Korovin, and other teachers, realistic methods of teaching visual arts were established at the Penza Art School. These traditions were continued by academician of painting N. F. Petrov, who headed the school from 1910 to 1918, and the honored figure of arts of the RSFSR I. S. Goryushkin-Sorokopudov, who worked at the school for almost fifty years.

Many graduates of the school became outstanding masters, bringing fame to the city not only in Russia but also beyond its borders. Among them are V. E. Tatlin, one of the founders of artistic construction in the country and the author of the project for the monument-tower to the III International; A. V. Lentulov, one of the organizers of the creative association "Bubnovy Valet" and the Society of Moscow Artists; V. D. Falileev, a master of color engraving and etching; G. K. Savitsky, son of the first director of the school, and G. N. Gorelov, full members of the Academy of Arts of the USSR; A. E. Karev, professor at the All-Russian Academy of Arts; I. V. Kosmin, corresponding member of the Academy of Arts; V. V. Volkov, people's artist of the Belarusian SSR; G. M. Gyurjan, people's artist of the Armenian SSR; U. T. Tansykbaev, people's artist of the USSR, and others.

During the Soviet period, the educational institution changed its name several times: from 1918 it was called state art workshops, from 1921, art-technical and pedagogical workshops, and from 1924, art-pedagogical technical school. In 1955, the Penza Art School was named after its first director K. A. Savitsky.