It was commissioned by Peshwa Baji Rao in 1729.this historical palace was 13 storey building. It is said that once Thorale Bajirao saw a rabbit chasing a dog at this venue. So, a palace was built taking inspiration from this event. It was believed that this place would never see defeat. This palace was once the head quarter for the brave Peshwas.

Shaniwar wada burned down in 1827, in a fire that lasted for 15 days. It is a mystery why the fire was not put down or noticed by the people. The fire burned all the artifacts and beauty of the palace. All that survived is the huge gate with impressive outer stone walls, bastions and small gates. Inside is the city center, which gives a line of what could have been the face of the palace before the fire broke out.