In 1776 Carlos III commissioned Francisco Sabatini with the construction of this palace to house the first secretaries of state and corresponding administrative units. In 1962, it was declared a Historical-Artistic Monument, and in 2000, it was included on the BIC cultural heritage list in the category of monuments.

Located in the Madrid in the Austrias district, it is a building with classic traces and rigid symmetry in the arrangement of the entrances and windows, with ground floor, main and intermediate mezzanine. Inside, notably highlighted is the composition of the lobby staircase which has the visual effect of expanding the space around it.

Its name is because it had among its inhabitants the Marquis of Grimaldi and Manuel de Godoy, Prince of Peace, both ministers of the king. During Godoy's stay in the palace he decorated the interior with marble, fresco paintings, and beautifully crafted doors and sculptures. Today, the palace is home to the Centre for Political and Constitutional Studies.