Although right by the royal palace, the convent is situated in a quiet corner, just off Plaza de Oriente. It contains paintings and sculptures by important Spanish artists of the time, many of which were created specifically for the convent.

A covered wooden bridge linked it to the Alcazar, so that the queen could move easily between the two buildings, I t was originally a much bigger structure, with a huge vegetable  garden at the back, much of which was built on in the 19th century. The courtyard in the front became a popular meeting place where people would get the latest royal gossip.

Perhaps the most intriguing exhibit in the convent is to be found in the reliquary room, which has a coffered ceiling and walls lined with mahogany cases containing about 700 relics.