The works of the hotel began in March 1911, in the Carrera de San Jerónimo, on the same place that the old palace of the Dukes of Medinaceli occupied, the Palace was inaugurated on October 12, 1912 by King Alfonso XIII and the President of the Government, José Canalejas, who just a month later would be assassinated in an attack. Although just as luxurious as the Ritz Hotel, with which there was some rivalry, the Palace enjoyed a greater relaxation in the selection of clients than its rival hotel, which made its guests much more diverse: they stayed in its Einstein rooms , Marie Curie, Picasso or Mata Hari. The hotel belonged to the Marquet family until 1977. Since 2001 it has been managed under the Westin brand. Meeting point for spies, soldiers and businessmen from all over the world during the First World War; space for celebrating life in the roaring twenties; Converted at the beginning of the Civil War into a military hospital in which its luxurious rooms give way to operating rooms and more than 800 beds for the wounded; reception place for journalists covering the 1981 coup attempt; the Palace has witnessed and participated in the long history of the last century of the city and the country.

It is currently a true benchmark for luxury hotels in the heart of Madrid, in the heart of the "Barrio de las Letras", once the place of residence of the great writers of the Golden Age and currently the most bohemian and chic neighborhood in Madrid. , residence of artists and designers and which brings together a large number of art galleries, cultural centers, museums as well as the most curious boutiques in Madrid.