On June 13, 1912, in Moscow on Volkhonka, at the site of the former Kolymazhny Courtyard near the Kremlin, the Museum of Fine Arts named after Emperor Alexander III was solemnly opened, which is now known as the State Museum of Fine Arts named after A. S. Pushkin. The idea of creating the museum belonged to Professor of Moscow University, Doctor of Roman Literature and art historian I. V. Tsvetaev, who proposed it in 1893. Architect R. I. Klein oversaw the construction of the building, and the interior design, which harmonized with the exhibited artifacts, involved architect G. B. Barkhin and artists I. I. Nivinsky, A. Y. Golovin, and others.

The museum was founded on the basis of the Cabinet of Fine Arts and Antiquities of Moscow University and served as an educational and public repository of casts and copies of classical works of world art. The original collection included casts of famous European sculptures, a unique collection of Egyptian artifacts gathered by Egyptologist V. S. Goleniщev (about 6,000 items), as well as originals of Western European paintings, predominantly from Dutch, French, and Italian schools, and a valuable collection of ancient vases and coins.

After the revolution, the museum ceased to be subordinate to the university and became an independent art institution. From 1924 to 1930, its collection was enriched with exhibits from nationalized Moscow estates and private collections, such as the collections of G. A. Brokar and D. I. Shchukin, as well as from the liquidated Museum of Icon Painting and Painting of I. S. Ostroukhova. Works of Western European art that did not fit the profiles of the Historical Museum, the Kremlin Museums, and the Tretyakov Gallery were transferred to the museum.

The museum's collection was significantly enriched by materials from archaeological excavations of ancient cities in the Northern Black Sea region. A significant role in the formation of the painting gallery was played by acquisitions from the State Hermitage, from which works by outstanding European artists such as Botticelli, Rembrandt, Van Dyck, Rubens, Poussin, Murillo, and Canaletto were transferred.