The museum is housed in the former Campo Marzio railway station in Trieste. The first station built on the site was that of Trieste Sant'Andrea opened in 1887 as the terminus of the Trieste-Erpelle railway and which from that station along the Istrian railway allowed to reach Pula and Rovinj (currently in Croatian territory). In 1902, the narrow-gauge Ferrovia Parenzana line also established itself in this plant. The current building was built between 1901 and 1906 to a design by the architect Robert Seelig as the Sant'Andrea station had been chosen as the terminus of the important state railway called Ferrovia Transalpina, which connected Trieste with the internal Austrian territory and which, thanks to some ramifications, reached Vienna and Salzburg. This new railway facility was second in size and transport volume only to today's Central Station. Under the operation of the FS (which succeeded the KKStB), the plant changed its original name from Triest Staatsbahnhof (Trieste State Station) to Trieste Campo Marzio. The station is still equipped with four platforms: some trunks and unused, others that instead house vintage locomotives and trams, which are also part of the museum collection.