The Frederik Hendrik Museum is located on the south-east coast of Mauritius. It is situated at the Vieux Grand Port Historic Site, the cradle of Mauritian History. This is the site of the first human settlement in Mauritius. The Dutch discovered Mauritius in 1598. However, they settled here only in 1638, when the Fort Frederik Hendrik was constructed. The Dutch abandoned the island for good in 1710. The French claimed Mauritius in 1715 and established their government on the same site in 1722. Later, the French moved their administration to Port Louis. However, they developed the site into a military post to assure the security of the bay and the island. Following the transfer of the military post to the newly created town of Mahebourg in 1806, the site was abandoned.

In 1998, the Vieux Grand Port Historic Site was rehabilitated and landscaped to mark the 400th anniversary of the first Dutch landing on Mauritius. It was inaugurated by H.R.H. Prince Maurits Van Oranje-Nassau, descendant of Maurits Van Nassau, stathoulder of the Netherlands, after whom Mauritius was named in 1598.

The Frederik Hendrik Museum was opened on 27 May 1999 by Hon. Joseph Tsang Mang Kin, Minister of Arts and Culture. Initially, it housed a temporary exhibition on the activities of the Dutch in the Indian Ocean, donated by the Dutch Government, on the occasion of the 400th anniversary of the first Dutch landing on Mauritius.

Since 1997, the museum received many objects in its collection as a result of the ongoing archaeological excavation work on the site, undertaken by a group of Dutch researchers. Over the years new exhibits, retracing the history of the site, have been added in the museum. The Frederik Hendrik Museum serves as an interpretation centre for the Vieux Grand Port Historic Site.