The Diocesan Museum of Pienza is located in the Palazzo Vescovile or Palazzo Borgia, in the architectural complex of the Piazza and the Cathedral which is the monumental fulcrum of the renovation wanted by the humanist Pope Pius II Piccolomini and carried out by Bernardo Rossellino. Born from the nucleus of the already very rich Cathedral Museum, integrated by numerous works of art from other churches in the area, the Diocesan Museum of Pienza in Palazzo Borgia is divided into 11 rooms that collect evidence of the Pientino area and neighboring municipalities.

The collection presents significant evidence of 14th-century Sienese figurative art, such as the masterpiece by Pietro Lorenzetti, the famous Madonna di Monticchiello, and the large panel with the Madonna della Misericordia by Bartolo di Fredi, originally located in the Pientino Baptistery. Very well represented, with works of very high quality, is the Sienese school of the fifteenth century, where the splendid table by Vecchietta stands out with the Madonna enthroned among the Saints Biagio, Giovanni Battista, Nicola and Floriano, a painting that proves to be up-to-date on the Florentine news both for the clear and clear brightness and for the use of perspective. The sixteenth-century Madonna della Misericordia by Luca Signorelli is also splendid, but also the Renaissance sculptures by Domenico di Niccolò dei Cori, without forgetting the later works of the Sienese school, with works by Vincenzo Rustici, Francesco Rustici, Bernardino Mei and Giuseppe Nicola Nasini.

Particularly significant is the collection of goldsmith objects ranging from the thirteenth to the nineteenth century, among which the liturgical furnishings donated by Pius II to the cathedral stand out. The most valuable piece of the Diocesan Museum of Pienza in Palazzo Borgia is the Cope of Pius II, the liturgical vestment donated by the despot Tommaso Paleologo to the Pope and subsequently to the cathedral by the latter. The garment, of English manufacture, is decorated with twenty-seven Stories from the life of the Virgin and testifies to the enlightened personality of Pius II, the undisputed protagonist of the history of Pienza.