The Archaeological Museum of Mykonos was built in 1902, in order to house the finds from the "Purification Pit" of 426/5 B.C., which was discovered in 1898 on the islet of Rheneia, by D. Stavropoulos.

It was designed by Alexandros Lykakis and paid for by the Ministry of Education and the Archaeological Society of Athens, while the land was donated by the Municipality of Mykonos. The original Neoclassical building assumed its present, "insular" form in 1934, and the large, eastern room, was added in 1972.