The Conservatory is to be found within the Dalkeith Estate of the Duke of Buccleuch, a half-mile (1 km) northeast of Dalkeith town centre. It was constructed in 1832 as a sizeable and ornate stone and glass structure, designed by William Burn, to grow Mediterranean fruits, including oranges and figs.
A large boiler in the basement consumed approximately one ton of coal per day to heat the building, with the central support of the structure acting as a chimney.
The Conservatory is now partially dilapidated, with the glass having been lost.