The museum features the collection built up by Dr Hermann Klumpp (1902–1987): one of the world's most comprehensive compilations of prints by Lyonel Feininger (1871–1956). The museum was founded in 1986 as the Lyonel Feininger Gallery, giving the town of Quedlinburg (today a World Heritage site) an internationally acclaimed museum specialising in classical modernism.
In 2006, the museum was integrated into the Stiftung Moritzburg Halle (Saale) - Kunstmuseum des Landes Sachsen-Anhalt. In 2014, the structure of the foundation was reformed and the two sites became part of what is now the cultural foundation Kulturstiftung Sachsen-Anhalt. Since then, as well as its famous core collection, the Feininger Gallery has developed into a museum of graphic art. Its special exhibitions present top-class graphics from all eras. In addition to international art, this includes regional art history up to the present day.