The construction of the complex began shortly after the Council of Trent, which provided rules for the veneration of saints. King Philip II donated one of the largest collections of relics in the Catholic world to the monastery: some 7,500 relics kept in 507 shrines with sculptures of heads and arms, among others.

In the Gospel, under the protection of the Annunciation of Mary, and opposite the Altar of St. Jerome most of the relics of saints are located in two large vitrines.