The Museum is housed in one of the oldest buildings in Milford Haven. Designed by Swansea architect, Jernigan, it was built in 1797 for the storage of whale oil awaiting transhipment for sale in London.
Milford Haven has been connected with a number of industries - fishing, Quaker whaling from 1790s, which led to the whale oil industry and more recently the modern oil industry. It has also played an important role during the two World Wars, when it was a convoy assembly point for mine-sweeping. The Museum collection reflects all of these aspects of the town's history, but focuses particularly on the maritime history.