The Palazzo Ducale or Ducal Palace in Sassuolo stands in the city's Piazzale della Rosa. The 17th-century Ducal Palace draws its origins from a previous castle, commonly known as the Rocca, built in 1458 by Borso d'Este, Marquess of Ferrara and local lord. The castle later passed to the Pio princes, who in 1609 sold it to Cesare d’Este, who had chosen Modena as the capital of the duchy of Modena and Reggio after losing Ferrara to Pope Clemens VIII.

The castle was later converted into a palace by Duke Francesco I d’Este, a learned and highly ambitious man, who conducted political activity on a European level despite the small size of his duchy; he wanted his court to be on par with the great courts of Europe.

For this reason, he ordered that the old castle which his ancestor, Obizzo d’Este, had built in Modena be converted into the grand Palazzo Ducale designed by the architect Bartolomeo Avanzini. The architect had been recommended to him by Bernini, who later made the exquisite marble portrait of him now kept at the Galleria Estense in Modena, along with the portrait in oil of the same duke by Velázquez (Francesco I had requested that Bernini design the palace himself, but Bernini had declined because he was already engaged by the Pope).
Francesco I, to whom Modena also owed the splendid Villa delle Pentetorri, designed by the court architect, Gaspare Vigarani, for the duke's guests and completely destroyed by the bombings of the last war, was satisfied with Avanzini's project for the palace in Modena. He also entrusted him with building a large palace on the site of the Rocca di Sassuolo where the court would spend its holidays, Sassuolo being located at the foot of the first Apennine hills, with a climate less damp and foggy than that of Modena.

During the occupation under Napoleon, once the Este Duke had fled, the palace was sold to Count Carlo Amabile Demarzit Sahuguet d’Espagnac and passed hands several times. In the late 19th century it was even used as a salami factory, and the palace's grounds became a farm estate. Through the intervention of the then heir, prince Umberto of Savoy, it was purchased by the State and assigned to the Military Academy of Modena, which used it partially and periodically for special courses to train officers and as an additional site when needed.