The palace was built by King Abdulaziz outside the walled town of Riyadh, being the first major expansion of the city in the twentieth century.[2] Construction was started in 1936 and partly finalized in 1938.[3] It was fully completed in 1945.[4] The construction was supervised by builder Ibn Qabba, but the King also personally involved in the construction process.[5] The palace was intended to be a family residence and court for the king.[6] With the construction of the palace three novel technologies were introduced to the Saudi society: the use of the automobiles as means of transportation, electricity by means of generators and water closets with drainage systems.[2] In order to connect the palace with the city center a concrete road was constructed which was also new in the city.[7] In 1939 electricity, lighting, fans, limited air-conditioning, a central water supply and lavatories were added by the Aramco technicians to the palace.[5]

The king left his former court in Masmak fort when the construction was finished,[8] and used the palace as his residence and court from 1938 until his death in 1953. One of his wives, Hussa bint Ahmed Al Sudairi, also moved with him to the palace in 1938.Another palace, Addeera, was also used as a royal residence.

During the reign of King Abdulaziz Murabba Palace witnessed many official visits and sign of various agreements.A lift was installed into the Murabba Palace in the late 1940s when the king had difficulty in climbing the stairs due to advanced arthritis. It was the first lift in Saudi Arabia.The king appointed one of his sons, Prince Mansour, as emir of the palace.

King Abdulaziz's successor, King Saud, also used the palace for official activities. For instance, he inaugurated the council of ministers with a ceremony in the Murabba Palace on 7 March 1954.