Coke left England in 1712 at the age of fifteen. He stayed for six years, travelling Italy, studying Palladio's buildings, taking drawing lessons, and meeting the people who would shape what he built. It was probably in Italy around 1715 that he first encountered Richard Boyle, the 3rd Earl of Burlington — the aristocratic architect at the forefront of England's Palladian revival — and William Kent, then a young artist living on patronage. All three would eventually work together on Holkham.

Coke came home in 1718 with a library, an art collection, and a vision. Progress was immediately delayed: his dissolute lifestyle — drinking, gambling, hunting, cockfighting — consumed years and money. Then the South Sea Bubble burst in 1720, and Coke, who had invested heavily, lost enough to set construction back by more than a decade. The foundation stone was not laid until 1734. Coke died in 1759, five years before the house was finished, having never fully recovered his losses. His widow Margaret oversaw the completion.

The principal entrance to Holkham is through the Marble Hall — which is not, despite the name, made of marble. The columns, the floor, the walls are pink Derbyshire alabaster. The hall rises the full height of the house, nearly 50 feet, dominated by a broad white marble staircase that sweeps up to the surrounding gallery. The alabaster Ionic columns were modelled on those of the Temple of Fortuna Virilis in Rome. The coffered ceiling was inspired by Inigo Jones, who was himself inspired by the Pantheon.

Sacheverell Sitwell judged the Marble Hall's only rivals in England to be the entrance halls at Kedleston and Syon — 'the masterworks of Robert Adam.' The comparison is to the next generation of English architecture. Holkham came first, and its monumental seriousness set a standard that Adam's lighter Neo-classical style was a reaction against. The hall points to Rome; the rooms beyond it reach for Italy in a different way — through the paintings and sculptures Coke brought back from his Grand Tour.

The Saloon, immediately behind the great portico, is Holkham's grandest room. Its walls are lined with red Genoa caffoy — a wool, linen and silk mixture known as Genoa velvet — and the ceiling is coffered and gilded. Rubens' Return of the Holy Family hangs here, alongside Van Dyck's portrait of the Duc d'Arenberg on horseback, purchased by Coke in Paris in 1718. Two tables designed by Kent have tops made from sections of Roman pavement excavated from Hadrian's Villa at Tivoli.

The Landscape Room holds 22 paintings in a symmetrical arrangement — seven works by Claude Lorrain, five by Gaspar Poussin — and a Venetian window through which the garden beyond becomes a continuation of the painted landscapes on the walls. Every state room has symmetrical walls; where symmetry requires a false door to balance a real one, Holkham has false doors. The logic of the arrangement was total. During a royal visit, Gavin Hamilton's painting of Jupiter Caressing Juno — deemed unsuitable for Queen Mary's eyes — was removed from the Green State Bedroom and sent to the attics.

The question of who designed Holkham has occupied architectural historians since the house was built. Matthew Brettingham, who served as clerk of works, claimed authorship in a 1761 publication. Horace Walpole immediately disputed this, attributing the design to William Kent. Brettingham's son later corrected his father's account, acknowledging that 'the general idea was first struck out by the Earls of Leicester and Burlington, assisted by Mr. William Kent.'

The evidence now suggests that Coke himself was more involved in the conception than early accounts allowed. He had studied Palladio's buildings in person. He had strong opinions about what he wanted. Burlington provided the intellectual framework and architectural authority. Kent provided the brilliant execution. Brettingham built it. The house is genuinely collaborative — but it is, most deeply, the expression of a young man's years in Italy, finally realised in Norfolk brick and Derbyshire alabaster.