The Royal Convent of the Incarnation was founded in 1611 by Queen Margarita, wife of Philip III, as a convent for cloistered nuns. The famous relic of St. Pantaleon is kept here. In 1994 it was declared a BIC cultural heritage site.

The building is the work of the architects Juan Gómez de Mora and Friar Alberto de la Madre de Dios, who constructed a building that has become an example of what has come to be known as Madrid’s Baroque style. The convent keeps important pictorial and sculpture collections from the 17th and 18th Centuries, with works done by Lucas Jordán, Juan Van der Hammen, Vicente Carducho, Gregorio Fernández, and Pedro de Mena. Also deserving of a special mention is the reliquary that houses a group of 700 pieces made of bronze, coral, ivory, and fine wood from Italy, Germany, Spain, and the Netherlands.

Ventura Rodríguez renovated the church in 1761. The Confiscation of 1836 notably affected the convent, since the nuns were removed from the convent in 1842 and its progressive demolition followed. In 1844, the architect charged with clearing the space of rubble and debris was Narciso Pascual y Colomer. The convent reconstruction project was also designed in 1844, mainly in the San Quintín street wing, and initiated in 1847, when the nuns returned to the building after five years of exile from the convent.