It occupies part of the lands where, in the early 19^th century, the Casino de la Reina was located. The building complex, consisting of a beautiful mansion, gardens and pond, was a gift from Madrid Local Council to the second wife of Ferdinand VII, Isabel de Braganza.

Its position on the old Calle de Embajadores was the result of a splendid building becoming free in the late 19^th century, which, until the 1950s was headquarters of the Faculty of Veterinary Science of the Complutense University of Madrid. The building is considered to form part of the Madrid Historical-Artistic Cultural Heritage.

Among its most important teachers, the Institute has been the place of work of important Spanish cultural figures. It is sufficient to mention the great poet, Antonio Machado, who found his final teaching position here, illustrious thinker María Zambrano, who shared classrooms and students with the poet, and celebrated cartoonist and poster artist Rafael de Penagos. Further to these, a significant number of important ex-students have passed through this centre; men and women dedicated to all types of activity: politics, sports, art, science and literature.