The I Duke of Fernán Núñez began building this neoclassical palace in 1790. The current configuration is the product of remodelling by the Count of Cervellón, husband of the daughter of the I Duke of Fernán Núñez, to convert it into one of the most outstanding mid-19^th-century residences in Madrid. It's located on Calle Santa Isabel, near Atocha station. Since 1985, it has been the headquarters of the Spanish Railways Foundation.

The inside was deeply altered by the remodelling, in which the original building was adapted to the romanticism dominant at that time. The Palace consists of two areas: the main part and the staff and stables area. The main part is the best conserved, being abundantly decorated with rugs and tapestries from the Royal Tapestry Factory, some of which are replicas of Goya cartoons, as well as inlays on the floors and ceilings, Baccarat crystal lamps, silken fabrics, marbles, bronzes, profusely gilded furniture and other luxury elements.

The most important parts of the Palace include the Reception Patio with the main staircase, the Stucco Room, the Pasos Perdidos (Lost Steps) Room and Lodge, the Red Room (main office), the Ballroom, the Isabelline Room, the Main Dining Room, the Children's Dining Room and the Walnut Staircase. The garden and greenhouse are also noteworthy.