Founded in 1834 by Salzburg citizens around Vinzenz Maria Süß, the museum was intended to counteract Salzburg's loss of importance at the time. The independent prince-archbishopric of Salzburg had been secularized and dissolved in the course of the Napoleonic Wars and, after several changes of rule, was finally incorporated into the Austrian Empire in 1816. The museum opened to the general public in 1835. From 1850 it bore the name Salzburger Museum Carolino Augusteum after the patron and Dowager Empress Caroline Auguste, who lived in Salzburg. In 1923, the museum ceded its natural history collection to the Haus der Natur and in 1924 moved the ethnological presentation to the Monatsschlössl in Hellbrunn. In 1932, museum archaeologist Oliver Klose and local history researcher Nora Watteck discovered the famous Celtic Dürrnberg Flagon during excavations at Dürrnberg/Hallein.

The “Anschluss” of Austria to the German Reich was welcomed by the German nationalist museum director Max Silber. He applied for membership of the NSDAP and in September 1938 declared that he was now already a member of the NSDAP and a member of the Nationalsozialistischen Volkswohlfahrt (NSV), the Reichsluftschutzbund and the Beamtenbund. He was also appointed a member of cultural committees and Salzburg's "Fachmann für die Verwertung der Schmuck- und Kunstgegenstände aus jüdischem Besitz". All museum employees had to swear an oath of allegiance to Hitler and prove that they were “of German descent”.

Museum employee and SS supporter Robert Landauer committed suicide in 1940; according to Nazi law, he was considered as „of Jewish descent”. The museum served Nazi ideology with its exhibition program, removed undesirable publications from its library and cooperated with the SS institution Ahnenerbe. Max Silber also actively sought the allocation of the confiscated assets. The museum received hundreds of “aryanized” objects as well as objects from dissolved associations, from confiscated monastery and church assets and items captured on war zones. The Salzburg Museum presented the majority of the confiscated objects in 1942 in the exhibition Heimatliches Kulturerbe. Neuerwerbungen des Stadtmuseum Salzburg 1938–1941. The City of Salzburg and the museum also courted the favor of Adolf Hitler, Hermann Göring and Heinrich Himmler with gifts from their own collections. The course of the war delayed plans to enlarge the museum. Priority was now given to storing the collections at safe places to protect them from air raids; French prisoners of war (forced laborers) were also used for this purpose. In 1944, the independence of the Salzburg Museum came to an end and it was incorporated into the Zweckverband Salzburger Museen.

After liberation from the Nazi regime, NSDAP member Lothar Pretzell had to give up his post as museum director as the successor to Max Silber (who died in 1942). Rigobert Funke became the director of the newly independent Salzburg Museum, followed by Kurt Willvonseder in 1954 and Friederike Prodinger in 1969. Both of the latter were former members of the NSDAP and Ahnenerbe employees, Willvonseder was also a member of the SS. Due to the destruction of the main building on Franz-Josef-Kai by bombing in 1944, the museum had to rely on alternative premises for a long time. In 1967, the new main building was opened at the old location. New secondary locations were created, such as the Domgrabungsmuseum (1974), the Spielzeugmuseum (1978) and the Panorama Museum (2005). The Freilichtmuseum in Großgmain, which opened in 1984 as part of the Salzburg Museum, became independent in 1986. In 2007, the Salzburg Museum moved its main location to the Neue Residenz and dropped the addition of the name Carolino Augusteum. Since 2012, the Salzburg Museum and the Keltenmuseum Hallein have

been cooperating under joint management, and since 2014 the Salzburg Museum has also occupied part of the DomQuartier Salzburg.

For decades, the Salzburg Museum did not reflect on its own role during the Nazi era, instead seeing itself as a victim of the circumstances of the time and the war. After 1945, the museum only restituted confiscated objects to their rightful owners on request and with delay, and tried to force objects from them as dedications/donations to the museum in the course of restitutions. From the mid-1950s onwards, restitution was hardly an issue in the museum. It was only from the 1980s and 1990s onwards that selective research into individual objects was carried out again. Since 2011, the Salzburg Museum, which has been financed equally by the City and Province of Salzburg since 1966 and has been run as a limited liability company since the end of 2010, has been systematically conducting provenance research and bases its restitutions policy on the Bundesgesetz über die Rückgabe von Kunstgegenständen aus den Österreichischen Bundesmuseen und Sammlungen of 1998 (as amended in 2009). In January 2012, the Salzburg Museum restituted paintings to the heirs of the painter Helene Taussig and in November 2020 archaeological objects to the historical-archaeological museum in Temryuk/Russia. Restitutions to the legal successors of Albert Pollak were carried out in October 2022 and to those of Oscar and Elizabeth Bondy in February 2025. Restitutions to the legal successors of Alphonse and Clarice Rothschild and Louis Rothschild are currently in preparation. The museum continues to systematically research objects seized during the Nazi era, and further restitutions will follow.