The Winter Palace of Bogd Khaan - one of the first museums in Mongolia - was built in 1924. It used to be a winter residence of the last king of Mongolia, Javzandamba. The palace compound was built between 1893 and 1903, and is well known for its Gate of Peace, temple and personal library of Bogd Khaan.

Among the museum's exhibits are sculptures by Mongolia's first Bogd or religious leader Zanabazar, the famous Taras. The museum has 21 invaluable sculptures of Taras. The collections at the Palace Museum numbers over 8,000 exhibits, of these 72 are certified by the State as unique but others are priceless artifacts. For example, there is a mantle (lama's) made of black fox fur that was presented to the first Bogd Zanabazar by the Manchurian King Enkh-Amgalan. The fur mantle is made of 80 fox skins and, by removing spinal parts of the skins, is seen to be adorned with 61 pieces of coral flower and 800 pieces of pearl. Its length is 186cm and the width of its skirt is 7 meters.