They were opened on November 30th, 2001.
Several remains of ancient roman baths dating from the 1st century A.D., can be found in the ground floor of the building, located in Calle Rey Carlos III. These are specifically part of a caldarium or room for hot baths.
Their full discovery is thanks to Manuel Robles Vives, the abbot of the collegiate church in Lorca who excavated them in 1787.
The ground plan and the reconstruction of this thermal building can be seen in the small exposition that is next to the preserved archaeological remains.