Villa Belgiojoso was built on a project by Leopoldo Pollack between 1790 and 1796 as a residence for Count Lodovico Barbiano di Belgiojoso, back to Milan after an important career in European diplomacy at the service of the Austrian family. After a long period of French domination, the venue is given to the Italian crown and starts to be abandoned. In 1921 GAM is officially inaugurated in this building after a strong renovation in 1920 by the new public property.

The gallery is famous for works by: Francesco Hayez, Pompeo Marchesi, Andrea Appiani, Tranquillo Cremona, Giovanni Segantini, Federico Faruffini, Giuseppe Pellizza da Volpedo, Antonio Canova, Daniele Ranzoni, Medardo Rosso, Gaetano Previati and other great artists.