The building was constructed in 1786-1787 by the Penza merchant Gerasim Shabonin based on a design by architect Yakov Ananievich Ananin from Nizhny Novgorod. The project was approved by Catherine II on February 6, 1786. This building housed the governorate administration and the treasury chamber, which was the provincial body of the Ministry of Finance. From 1791 to 1797, the position was held by the poet and playwright, as well as the organizer of the first theater in Penza, Vice-Governor Prince Ivan Mikhailovich Dolgorukov. In 1865-1866, the position was occupied by the satirical writer Mikhail Yevgrafovich Saltykov-Shchedrin.

Memoirists worked in this building, such as Ivan Ivanovich Meshkov, who in 1832 created one of the first memoirs about the Penza region, describing events of 1774 related to the Pugachev uprising. His son, Grigory Ivanovich Meshkov, left "Notes on the City of Penza," while Vasily Antonovich Insarsky wrote six volumes of his "Notes," published in various magazines. The name of Vice-Governor Alexander Mikhailovich Zhemchuzhnikov is also associated with this building, who co-authored several works of Kozma Prutkov, a collective pseudonym of a group of writers that included his brother V. M. Zhemchuzhnikov and poet A. K. Tolstoy.

In 1853-1854, the building was reconstructed based on a design by Penza provincial engineer Alexander Konradovich Shtorkh.