Construction of a new building in the civic complex of Cathays Park began in 1912, but owing to the First World War it did not open to the public until 1922, with the official opening taking place in 1927. The architects were Arnold Dunbar Smith and Cecil Brewer, although the building as it now stands is a heavily truncated version of their design.

The sculpture scheme for the building was devised by Sir W. Goscombe John