The main museum and art gallery of Setúbal is located in the historic Convent of Jesus, built in the late 15th century by the wet-nurse of prince (later king) Manuel.

This building, on which work began in the 1490s, is the earliest example of the Renaissance architecture of Manueline Portugal (see The Church and Altarpiece of the Convent of Setúbal: 15th and 16th centuries AD).

Between 1519 and 1530 AD the altarpiece, one of the masterpieces of the Portuguese Renaissance, was commissioned by Queen Leonor. This constitutes fourteen large-scale oil-paintings on oak, probably painted in Lisbon by the artists Francisco Henriques and Master George Alfonso, and is the central point of the museum's collection of paintings.

Collections also include Renaissance and later artworks, wood carvings, agricultural equipment, photographs, crafts and industrial collections.