The United Kindgom and Montenegro established diplomatic relations right after the Berlin congress of 1878 that granted Montenegro independence, but the embassy building was only built in Cetinje in 1913. English architect Harty oversaw the project. The building is located right next to the Blue Palace — the current residence of the President of Montenegro.

The embassy was housed there until the start of World War I. Then, between the two world wars, it served as headquarters for the Zeta banovina (province in the Kindgom of Yugoslavia from 1920 to 1941).

Later it housed a library and reading hall, but after the 1979 earthquare it was taken over by the faculty of fine arts. Now it serves as home to the Montenegro State University's musical academy.