The building was raised in the late seventeenth century to give the market traders of Warwick what their predecessors had lacked: a roof. Booth Hall, the earlier covered market, had been judged insufficient, and so the new Market Hall went up with a wide open-plan ground floor and broad arches, allowing carts and customers easy passage among the stalls. Above it, a first floor of meeting rooms began letting from 1694. From the early eighteenth century until 1848 one small upstairs room served as a lock-up, where prisoners awaited magistrates' hearings. By 1842 the local paper called it a disgrace: a cell eight feet eight inches by three feet eight inches had, at one point, held thirteen people. It was closed six years later.

Above the market, in those rented meeting rooms, a different institution was taking shape. The Warwickshire Natural History and Archaeological Society was founded in 1836, advertising for members in the local newspaper and declaring as its primary aim the amassing of zoological, botanical, and mineral specimens. Within a few years its collection had outgrown the meeting rooms and was on display to anyone who could pay a shilling - or a guinea annually for membership, with the privilege of free lectures and shared luncheons at the Woolpack Inn across the street. A free open day in 1847 admitted the public without charge, and the Warwick Advertiser reported afterwards that hundreds of visitors had conducted themselves with the utmost decorum. By 1900 the museum's collection had displaced the market entirely. In 1905 a new front door was cut, with the word MUSEUM carved into the stone above it, which is still there today.

Membership of the Society dwindled in the early twentieth century and so did its funds. In March 1932 the Society made what then was an unprecedented decision: it handed the entire collection to Warwickshire County Council. With that gift Warwickshire became the first county council in the United Kingdom to be directly responsible for a museum service. In 1936 the Market Hall was scheduled as an Ancient Monument to prevent its demolition, and in 1938 admission was made free to all - a status it has kept ever since. After service as a Civil Defence store during the Second World War, the building was listed Grade II* in 1953, its original cupola was reinstated, and the attic floor was opened for offices.

Oisin the Deer is one of the museum's celebrities: the complete skeleton of a Giant Irish Deer, a species with antlers spanning up to four metres across, which stood two metres high at the shoulder when it walked the European plains in the late Pleistocene. He was donated in the nineteenth century and is now so central to the museum's identity that Heritage and Culture Warwickshire's social media account is named for him. The Spicer family of Warwick and Leamington were renowned British taxidermists across three generations from the late nineteenth century onwards, distinguished by painted backgrounds and bases of dried real vegetation; a tribute display shows examples of their work alongside specimens they restored. And then there is the tapestry.

In the 1580s Ralph Sheldon commissioned a set of tapestry maps for his country house in south Warwickshire. He had four made, each depicting one English county: Worcestershire, Oxfordshire, Gloucestershire, and Warwickshire. The Warwickshire tapestry is among the earliest detailed cartographic representations of an English county, and unusually for a map of its time it shows woodland, hills, individual church towers, and sketches of major towns alongside the usual roads and settlements. It came into the Warwickshire Museum's collection in the 1960s and now hangs across an entire wall of the Market Hall - approximately three and a half metres of wool and silk, depicting the Warwickshire that the Sheldon weavers saw four and a half centuries ago. Admission is free. The museum is half a mile from Warwick railway station, a short walk from Warwick Castle and the Market Square that the building itself once served.