The history of the museum, of its building is quite unusual. In the centre of Paris on the banks of the Seine, opposite the Tuileries Gardens, the museum was installed in the former Orsay railway station, built for the Universal Exhibition of 1900. So the building itself could be seen as the first "work of art" in the Musee d'Orsay, which displays collections of art from the period 1848 to 1914.

Source:http://www.musee-orsay.fr/en/collections/history-of-the-museum/home.html