The museum was established in the 1920s in the '"gentlemen''s'" wing of the Nysø manor house, and was opened to the public in 1926.

The reason that a museum dedicated to Thorvaldsen was opened at Nysø lies in the friendship between the artist and the owners of Nysø at that time, Baron and Baroness Stampe. In connection with Thorvaldsen''s return to Denmark in 1838 after having lived in Italy for more than 40 years, Prince Christian Frederik, later King Christian VIII, personally requested that Baroness Christine Stampe should take care of the famous sculptor. She had spent several years in Italy as a child, and was therefore particularly qualified to make Thorvaldsen feel at home.

Christine Stampe put her whole heart into the task, and even though Thorvaldsen''s position as professor at the Royal Danish Academy of Fine Arts entitled him to an apartment at Charlottenborg in Copenhagen, the baroness succeeded in making Nysø - which many other figures of the Danish '"Golden Age'" of art also visited - the artist''s second home.

The Thorvaldsen collection at Nysø provides a unique insight into the artist''s late works, produced between 1838 and Thorvaldsen''s death on 24 March 1844.