The museum is housed in the historic Vendue House, an original single storey arcaded building. It is still distinguishable by the pair of Corinthian columns in front, along with its traditional colonial pink paint colour.
In 1784, Vendue House, then called the bourse, was listed among Nassau's public buildings, and is thought to date from the 1760s. During this period, the building was used as a market, from which commodities of all kinds, including human beings, were sold. In the early 20th century, it housed the telegraph and telephone department, and later the electricity department. In 1992, it was given over for use as a public museum, named for Pompey, a slave who raised a revolt against unfair conditions on the Rolle Plantation on the island of Exuma. The museum opened with a classic exhibition on Slavery in The Bahamas.
The museum is dedicated to the study of slavery and over the years it has housed several renowned exhibitions, including A Slave Ship Speaks: The Wreck of the Henrietta Marie and the UNESCO/ Schomburg commemorative exhibition Lest We Forget: The Triumph Over Slavery.