Today's Winter Palace is the fourth on the site. Peter the Great built the first as a modest two-story house, designed by Domenico Trezzini and finished around 1712. Peter died in the second version, designed by Georg Mattarnovy in 1721. Peter II expanded it into a third, also Trezzini's work, in 1727. None of those buildings satisfied the Empress Elizabeth, daughter of Peter and ruler from 1741, who wanted a palace that could match Versailles. She hired the Italian architect Bartolomeo Rastrelli — who had already given Russia the Catherine Palace at Tsarskoye Selo — and Rastrelli designed, between 1753 and 1762, the present Winter Palace. Elizabeth did not live to see it finished. Construction continued through the Seven Years' War, funded by special taxes on salt and alcohol, despite the burdens those taxes placed on a country already strained by the war. The labourers earned one ruble a month. The final cost was 2.5 million rubles.

Catherine the Great, who came to the throne after her husband's murder in 1762, made the palace her own. She added a small private retreat alongside the main building — what she called her Hermitage — and began to fill it with paintings. The Brühl collection from Saxony in 1769. The Crozat collection from Paris in 1772. The Walpole collection bought from the heirs of the British prime minister Sir Robert Walpole in 1779, against the protests of British art dealers. By the time of her death in 1796 the Hermitage held the largest private collection in Europe — Rembrandts, Rubens, Titians, Raphaels, Tiepolos, van Dycks. It overflowed into a second extension, the Old Hermitage, then a third, the Hermitage Theatre, designed by Quarenghi. After Catherine, her grandson Alexander I added French masters bought from the collection of Empress Josephine after Napoleon's fall. By 1852 Nicholas I had built the New Hermitage as Russia's first public art gallery. The collection now exceeds three million objects.

On the morning of 9 January 1905 — 22 January in the Western calendar — a procession of unarmed Saint Petersburg workers led by the priest Father Gapon marched toward the Winter Palace carrying portraits of the Tsar and a petition asking for an eight-hour day, better wages, the right to organize, and an elected assembly. They believed the Tsar would receive them; they did not know he was not in residence — Nicholas II and Alexandra had moved to the Alexander Palace at Tsarskoye Selo years earlier and had not been informed of the demonstration in any detail. Imperial Guard troops stationed in front of the palace fired on the crowd. The official count was 96 dead and 333 wounded; modern historians estimate the real toll at around 200 killed and several hundred more wounded, including women and children. The day became known as Bloody Sunday and is generally considered the catalyst of the 1905 Revolution that followed. The Tsar's standing among ordinary Russians, until then surprisingly intact, never recovered.

Twelve years later the building hosted the second revolution. After the February Revolution of 1917, with Nicholas II abdicated and his brother Mikhail refusing the throne, the Russian Provisional Government under Alexander Kerensky based itself in the northwest corner of the Winter Palace. Most of the state rooms were still functioning as the Tsarevich Alexei Hospital, the wartime field hospital established in 1915 for soldiers wounded on the Eastern Front. On the night of 25 October 1917 — 7 November in the West — Bolshevik Red Guards, sailors from the cruiser Aurora moored on the Neva, and soldiers from the Petrograd garrison surrounded and entered the palace. The Aurora fired a blank round as a signal. The defenders — a battalion of women's shock troops, military cadets, and Cossacks — surrendered after limited resistance. The Provisional Government ministers were arrested in the Malachite Room. Casualties were small — perhaps half a dozen dead — but Sergei Eisenstein's 1928 film October recreated the event as a heroic mass storming with floodlights and waves of charging Red Guards, and that cinematic version became, for many, the image that history remembered.

On 30 October 1917, three days after the Bolshevik takeover, the palace was declared a public museum. The state rooms have been steadily restored across the century since — the damage from the 1837 fire that gutted much of the interior had already been repaired in the 1830s and 1840s under Nicholas I; the damage from the 872-day Siege of Leningrad, when the building was hit by German shells and bombs and the unheated rooms cracked in the cold, was repaired through the postwar decades. The State Hermitage Museum now occupies the Winter Palace, the Old Hermitage, the New Hermitage, the Hermitage Theatre, the General Staff Building across Palace Square, and several other addresses. It holds about 3 million objects. Walking the enfilade of state rooms — the Jordan Staircase, the Field Marshals' Hall, St. George's Hall with its empty throne dais, the Malachite Room where the Provisional Government was arrested — you walk through three centuries of Russia's argument with itself.