The Voronezh Provincial Museum opened on September 9 (21), 1894, and its first director was Stefan Egorovich Zverev. The museum was located in three rooms on the second floor of the old City Duma building, now at Plekhanovskaya, 3. A commission was created from members of the Statistical Committee to organize the museum, which included F. D. Chertkov (chairman), E. L. Markov, V. N. Kolyubakin, V. K. Zadler, K. K. Fedyaevsky, M. S. Kartashov, S. E. Zverev, K. Smirnov, and M. P. Parenago. At the time of its opening, the museum had about 2,400 exhibits distributed across various departments: natural history, ethnography, archaeology, numismatics, historical geography, and a library.

After the museum opened, the collections continued to grow, and archaeological excavations became an important part of its scientific work. Research was conducted on burial mounds in the village of Mazurki in the Novokhopersky district, the Old Mayatskoye settlement near the Divnogorsk Monastery, the 'Khazar' settlement near Voronezh, and the 'Frequent Mounds'. In 1911, thanks to valuable finds from the 'Frequent Mounds', the museum was able to acquire a new building, the 'Voronezh Palace' (now Revolution Avenue, 18).

However, World War I, the Revolutions, and the Civil War hindered the reorganization of the premises. Museum staff focused on saving property from the devastated noble estates of Voronezh province. In the 1930s, work on replenishing the collections continued.

By 1941, the collections of the Local History Museum numbered around one hundred thousand items. The Great Patriotic War caused immense damage to the city and its museums. Only a small part of the collections was evacuated to Kazakhstan and Siberia, while the rest mostly perished. In 1943, the museum resumed operations in the building of the Anti-Religious Museum, which, along with the Museum of Revolution, was merged into the Local History Museum. In 1948, the museum was returned to its former building, which also housed the Museum of Fine Arts. In 1959, the museum was allocated a separate building on Plekhanovskaya Street, where it remains today.

The main exhibition of the museum is located in a building that is a cultural heritage site of regional significance from the early 20th century, the 'Blind School'. In the late 19th century, this area was part of the estate of merchant A. N. Klochkova. The building was constructed between 1902 and 1904 as a provincial school for blind children, belonging to the Mariinsky Society for the Blind. N. A. Klochkova donated the estate to the city for the establishment of the school, on the territory of which the building was constructed with donations. It included bedrooms, classrooms, a library, a medical isolation room, and facilities for teachers. The central hall housed the Church of Mary of Egypt with an iconostasis created by the artist Bortsov. One of the icons was gifted by John of Kronstadt. Until 1941, the school operated as a 'school for the blind'. After the liberation of Voronezh, the building housed the regional executive committee until 1959, after which it was transferred to the local history museum.

In the 1970s and 1980s, the museum expanded its structure: in 1978, a branch opened in the House of Clown-Trainer A. L. Durov, and in 1983, an exhibition titled 'Voronezh Region during the Great Patriotic War' opened in the 'Arsenal' building. In 1987, for the 70th anniversary of the October Revolution, the main exhibition on the history of the Voronezh region was opened, and the museum was given the building at Revolution Avenue, 22 ('Governor's House'). Even during the difficult 1990s, the museum celebrated its 100th anniversary and continued its active work.