The palace was erected between 1637 and 1639 by Cosimo Fanzago at the behest of the Flemish Zevallos family, who wanted a noble palace for them on Via Toledo. Inside the building, however, as soon as you pass through the entrance door, the noble coat of arms of the Colonna family is visible on the right with a short marble engraving dedicated to them. The coat of arms is the same as the one above the main doorway, thus suggesting that these two parts were only later added.
As the years passed, the palace changed hands and it was not until 1920 that it became one again, after almost a century. New owner was the Commercial Bank.
The palace can be visited as an aristocratic apartment, also having an art gallery with about 120 pieces including paintings and sculptures.
A real museum with a new layout featuring more than 120 works, with many masterpieces concerning the city of Naples from the 17th century until the early 20th century. So not only Caravaggio’s splendid Martyrdom of St. Ursula, indeed the last Caravaggio, but also many other masterpieces. The "Martyrdom" was the great master’s last painting before he left the city of Naples in 1610, just weeks after his dramatic death. The painting was commissioned by the Genoese banker Marcantonio Doria, whose family had St. Ursula as its protector, and was executed by Caravaggio in a short time precisely because he was about to flee Naples.