The building in the style of Stalinist Empire was constructed in 1936 according to the design of the famous architect Ivan Vladislavovich Zholtovsky. The classic lines of the building are emphasized by the colonnade of the portal. Initially, it was intended as the administrative center for the representative of the All-Russian Central Executive Committee of the USSR for the construction of the resort city of Sochi-Matsesta. For a long time, it housed the City Committee of the Communist Party.

In the 1970s, the building, originally conceived as an ideological center, was transferred to the Exhibition Hall, which opened to visitors in October 1976. In addition to exhibitions, the hall was tasked with creating its own collection of Soviet art. In 1988, it received museum status. The foundation of its collection consisted of paintings transferred from Sochi health resorts by the order of the City Executive Committee. Over thirty years of existence, the Sochi Art Museum has collected more than three thousand exhibits of Russian, Soviet, and foreign art.

The museum's collection includes ancient silver and cold weapons from the 2nd and 1st centuries AD, ancient Russian icons from the 8th to the 20th centuries, as well as painting, graphics, and decorative applied art from the 19th and 21st centuries. The collection of Russian painting and graphics from the 18th to the 21st centuries allows tracing the development of Russian art from the mid-18th century to the present day. The Russian academic style of the late 19th and early 20th centuries is represented by works of famous landscape painters: Ivan Aivazovsky, Vasily Polenov, Ivan Shishkin, Lev Lagorio, Mikhail Klodt, and Konstantin Bogaevsky.

The collection of the Moscow school of painting features works by Impressionists and Post-Impressionists, starting with one of the founders of the movement, Abram Arkhipov, and ending with Cezannists such as Ilya Mashkov, Alexander Kuprin, and Pyotr Konchalovsky, founders of the "Bubnovy Valet" association. The exhibition concludes with a collection of paintings from the 1940s to the present.

Decorative applied art from the regions of the country is represented by porcelain, clay toys, lacquer miniatures, embroidery, lace, and sewing.