Prag Mahal is named after Rao Pragmalji II, who commissioned it and construction began in 1865. It was designed by Colonel Henry Saint Wilkins in the Italian Gothic style, and many Italian artisans were involved in its construction. The palace artisans' wages were paid in gold coins. Construction of the palace, which ultimately cost 3.1 million rupees.
Scenes from the Bollywood blockbusters Hum Dil De Chuke Sanam and Lagaan, as well as a number of Gujarati films, were shot in the palace.