The foundation stone of the building was laid by Bajirao I - a fighting peshwa who never lost a battle - on Saturday, January 10, 1730, an auspicious day. The opening ceremony of the palace was performed also on a Saturday - January 22, 1732. The palace was, therefore, named Shaniwarwada - "Shaniwar" meaning Saturday and "wada" meaning residence. The mansion built by Bajirao I consisted of only two storeys and it cost Rs 16,110 (must have been a huge sum in those days). Successive peshwas added to the construction and the palace as it finally stood was a seven-storeyed building. At least 1,000 people used to reside in the palace area in 1758.
The walls and arches were supported by pillars shaped like cypress trees.The walls were painted with scenes from the Ramayana and Mahabharata.There was a beautiful fountain known as "Hajari Karanje (fountain with 1000 fountain heads)" in the shape of a 16-petal lotus. The remains of the fountain can still be seen.
After the battle of Khadki, the palace was occupied by the British. In June 1818, the peshwa abdicated his throne to Sir John Malcolm and went to reside at Bithur near Kanpur as a political prisoner. After occupying Shaniwarwada, the British first turned it into a military hospital and later on put the building to other uses. On February 27, 1828, the palace caught fire which raged for seven days and reduced the whole building to ashes. Excepting for the heavy ramparts and strong gateways, nothing of the majestic building remains. Yet, the magnificent exterior reminds people of the rise of the Maratha Empire, and Shaniwarwada's prominence as the seat of power.
The strong silent walls of Shaniwarwada, if they could only speak, would have related numerous stories about the military campaigns that were planned within and also about the power struggles. The walls would have told about Peshwa Narayanrao's murder by guards, and of his plea to his uncle to save him. It was owing to prevalent circumstances that Narayanrao ascended to the seat of peshwa when he was only a teenager. His uncle Raghunathrao and aunt Anandibai were not happy with this ascendency. Following their differences, the nephew kept his uncle under confinement. It is said that guards, who wanted to release Raghunathrao, chased and killed Narayanrao even as he attempted to run to his uncle screaming, "Kaka mala vachva (Uncle, save me)". That was the year 1773.