Originally owned by Carolina Antónia da Cunha, the building which houses the current Sir Robert Ho Tung Library was constructed before 1894. It changed hands several times and was then purchased by Sir Robert Ho Tung in 1918. After his death in 1956, his descendants carried out his wishes according to his will by not only bequeathing the premises to the Macao Government for the establishment of a public library that collects Chinese books, but also donating HK$25,000 for the purchase of the books. The structure was thus given the name Sir Robert Ho Tung Library.

On 1 August 1958, the library was officially opened to the public.

Located in the Historic Centre of Macao, the building was inscribed on the list of World Heritage Sites by UNESCO in 2005. In 2006, the new library, equipped with an ancient book chamber and modern library facilities, became operational, providing a cultural and reading space to the public.