This museum was built in 1887 by a British named H.C. Syers. The artefacts gathered for exhibits were from1894 onwards. JP Rodges presented gifts, which include aces of carved stone known as lintar stone to the said Museum. Those artefacts displayed at the Museum are not locally found. Right after Independence, almost all states in Malaysia institute its' own state museum. The City Museum of Malaysia was officially founded on 31st August 1963. The building was constructed on the platform of Museum Selangor after the latter museum was destroyed during the World War II. The City Museum became the property of Selangor State until year 1974, when Sultan Salahuddin Abdul Aziz Shah Alhaj agreed to surrender the rights of His Royal Constitution over Kuala Lumpur City to the Federal States Government. Due to that agreement, Selangor does not have a museum of its own except a mini museum, originally a house belonging to a District Officer of the County situated in Bukit Melawati in Kuala Selangor.

The state museum is known as Museum Sultan Alam Shah was officiated on 27 December 1975. An instituted body was set up - Lembaga Muzium Selangor to manage the running of the museum, from buying of artefacts displayed and related matters pertaining to museums. The Sultan Alam Shah Museum took its name from Sultan Hishamuddin Alam Shah Ibni Almarhum Sultan Alauddin Suleiman Shah, the sixth Sultan of Selangor who reigned from 1938-1942 and 1945-1960.

The museum was built at a cost of RM42 million and it stands on a 12.95-hectare piece of land. The interior floor plan spreads out 135,000 sq. ft. (41,538.46 sq. metres). Other amenities within the museum grounds include a workshop, photography room, library, storeroom plus a temporary and permanent exhibition decks. Meanwhile, in the Theaterates Museum Building, there is an auditorium that can seat 300 guests at any one time plus seminar rooms, a launderette, a changing room, a canteen and a training dance studio. Within the museum are six exhibition halls; each portrays a particular aspect of Selangor’s history and royal artefacts. The six exhibition halls are for history, royal exhibits, cultures & traditions, heritage, economical exhibits and sports exhibits.

The museum serves as a reference and an authority on the research, scientific and systematic documentation of information, collection of archives and preservation of heritage. It is also an educational tool for the public who seek knowledge and information on the state's historical events, archives and heritage.