Instigated by King Milan, the palace itself was built between 1882 and 1884, according to the design of Aleksandar Bugarski, in the style of academism of the 19th century, with intention to surpass all existing residences of the Serbian rulers. In order to build the new palace, the Little Palace had to be demolished first. Jointly with the new palace, the Marshall's building ("Maršalat") was built behind it. The building was upgraded in 1922, being adapted into the large, semicircular building. The Old Konak, in which the Aleksandar and his wife, Queen Draga were assassinated during the 1903 May Coup, was demolished in 1904.