The first Delphi Museum was built in 1903 on plans by the French architect Tournaire and funded by A. Syngros in order to house the finds of the great French excavations begun in 1892. The original building, which consisted of two wings, was enlarged and renovated in 1935-6. The new exhibition opened two years later and was organized like the first one by Greek and French archaeologists. A storeroom for inscriptions was constructed in 1956. The complete refurbishment of the museum in accordance with recent museological thinking, especially since many of the antiquities had been stored away during the Nazi occupation, was deemed necessary in 1958 and was carried out by the architect Patroklos Karantinos. Two new rooms, one for the Charioteer and the other for the bronze objects, were created, while the existing three were refurbished. Old storerooms were converted into offices and a guesthouse. A portico was built in front of the offices for the exhibition of Hellenistic statues, but was blocked in 1980 by new offices, while a new adjacent building containing more storerooms (for statues, vases and architectural elements) and laboratories, was added. The new exhibition was established between 1960 and 1963.

In 1975, part of the sculpture laboratory and storeroom was used for the exhibition of the bull and chryselephantine objects from the recently excavated votive deposit of the Sacred Way. The conversion was completed and the exhibition inaugurated in 1978. In 1979, a second staircase leading to the museum's entrance was created. The latest enlargement and renovation was completed in 1999. It included the refurbishment of the existing exhibition rooms, the modernization and creation of new laboratories, the construction of new storerooms and offices, and of a lobby, cafeteria and gift shop, the landscaping of the area surrounding the museum and the repair of the museum's architectural shell, roof and floor. All of the museum's collections were redisplayed to meet modern museological standards, new exhibits and contemporary information technology were added for visitors.