In 1927, Prince Mehmed Ali Hasan of the Hidiv family of Egypt commissioned the Italian architect Edouard De Nari to build the villa, now the museum's main building, and it was used as a summer house for many years by various members of the Hidiv family.

After the mansion was purchased in 1950 by industrialist Hacı Omer Sabancı from Princess Iffet, a member of the Hidiv family, as a summer residence, it came to be known as Atlı Köşk,“The Mansion with the Horse”, because of the statue of a horse (purchased in the same year) that was installed in the garden; the statue is the 1864 work of the French sculptor Louis Doumas.

A second horse sculpture on the grounds of Atlı Köşk that gave the mansion its name is the cast of one of the four horses taken from Sultanahmet square in Istanbul when it was looted by Crusaders during the Fourth Crusade in 1204 and removed to the Basilica of San Marco in Venice.