Özel bir koleksiyon merakıyla sanat eserleri toplamaya başlayan Heinrich genelde ABD'li zenginlerden sanat eserleri alır. 20. yüzyılın başında Avrupa'dan sanat eseri toplayan ABD'li zenginler [[1929 Dünya Ekonomik Bunalımı]]yla beraber ellerindeki değerli eserleri satma yolunu seçerler. Bu dönemde Heinrich çok önemli eserleri koleksiyonuna ekler.<ref>Bu dönemde Giovanna Tornabuoni'nin portresi Morgan Kütüphanesinden, Carpaccio'nun Genç Şövalye adlı eseri de Otto Kahn'dan alınır.</ref> Koleksiyon Heinrich'in oğlu Hans tarafından sürdürülür. Hans bu koleksiyonu genişletip düzenleyerek dünyanın en büyük özel koleksiyonlarından birisi haline getirmiştir. Baronun 1985 yılında evlendiği eşi Carmen Cervera eşini koleksiyonu serilemek konusunda ikna eder. İspanyol Hükümeti ve aile arasında yapılan anlaşmanın ardından 1992 yılında koleksiyonun sergilendiği müze açılır.
<!--
The collection started in the 1920s as a private collection by Heinrich, Baron Thyssen-Bornemisza de Kászon. In a reversal of the movement of European paintings to the United States during this period, one of the elder Baron's sources was the collections of American millionaires coping with the Great Depression and inheritance taxes, from which he acquired such exquisite old master paintings as Ghirlandaio's portrait of Giovanna Tornabuoni (once in the Morgan Library) and Carpaccio's Knight (from the collection of Otto Kahn).[1] The collection was later expanded by Heinrich's son Baron Hans Heinrich Thyssen-Bornemisza (1921–2002),[2] who assembled most of the works from his relatives' collections and proceeded to acquire large numbers of new works to produce what is one of the world's finest private art collections.
In 1985, the Baron married Carmen "Tita" Cervera (a former Miss Spain 1961) and introduced her to art collecting. Carmen's influence was decisive in persuading the Baron to decide on the future of his collection and cede the collection to Spain. The museum was opened in 1992 after an agreement was reached between the Baron and the Spanish government. A year later, the collection was bought outright.
The Baroness remains involved with the museum. She personally decided the salmon pink tone of the interior walls and in May 2006 publicly demonstrated against plans of the Mayor of Madrid, Alberto Ruiz-Gallardón to redevelop the Paseo del Prado as she thought the works and traffic would damage the collection and the museum's appearance.
