Originally the Banqueting Hall for the Palace of Whitehall, this building was constructed in 1622 from the designs of Inigo Jones. The Banqueting Hall was used by King James I to host receptions and performances that combined poetry, music, dance, and costumes. I can't tell you how close those words are to my literal definition of hell. These performances, or masques, or absolute embarrassing travesties, were a trademark of the Stuart dynasty and often promoted the divine power of the monarchy.
Perhaps this is why I can never trust a man named Stuart.
Of course, none of this did much good for Charles I - his disputes with parliament sparked the English Civil War, and old Charlie was executed in front of the Banqueting Hall in 1649. Always embarrassing.
When the Palace of Whitehall burned down in 1698, the Banqueting Hall was the only building to survive. A banqueting hall without a palace is not much of a banqueting hall - as my mother always said - so the building was converted to replace the also-burned-down Chapel Royal of Whitehall. These really were times when anything could happen. But it was mainly buildings burning down.
In 1809, a second gallery was built onto the chapel in order to accommodate larger military services. It remained a Chapel Royal until 1891 when, with Queen Victoria's approval, it was converted into a museum. It remains, as yet, unburnt.