The history of the Fine Arts museum in Le Locle goes back to the foundation of the Fine Arts Society in 1862. In 1913, the museum moved into its own building, built in 1906 by architects Jean and Eugène Crivelli. Its Art Nouveau architecture has been preserved until today. The museum later extended to the neighbouring telephone exchange building from 1931.
The museum building is illuminated by Art Nouveau stained glass windows.
The museum was renovated between 2011 and 2014 to plans by architect Nicolas Fröhlich, creating in particular the exhibition room at the ground level with large windows towards the city.