The gallery 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 gallery 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 gallery was integrated into the Saxony-Anhalt regional art museum, run by the Moritzburg Castle foundation in Halle an der Saale. 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.