The west wing was built in 1475 as the main building (palatium) in the medieval castle. The building had a basement with high ceilings, there were two floors with Gothic arched windows, and there was a marksmen's gallery on the roof, with embrasures facing west. The present window openings presumably stem from the time of King Christian III (c. 1550) and were subsequently extended, possibly at the time of the reconstruction undertaken by King Christian IV in c. 1720.
The original layout and partitioning of the room is not known. The oldest known ground plan of Koldinghus, dating from 1740, shows that the reading room did not exist, but that a corridor running along the side facing the courtyard led from the king's chambers in the south wing to the gallery in the chapel. A number of rooms used by the senior court officials led off this corridor.
In 1915–17, the library reading room at Koldinghus was fitted out with materials taken from the old building belonging to the Danish National Library in Copenhagen. These materials, including columns, gallery and bookcases, were left over when the library building was converted into the Danish National Archives.
Denmark was relatively late in establishing a large national library. It was not until the time of King Frederik III (who reigned 1648–70) that such a library was established. In the years 1665–73, building extensions at Copenhagen castle included the provision of room for a library and the so-called Cabinet of Curiosities, which was established at the same time. The floor below was used as an ordnance depot for the field artillery. The mayor of the time, Th. Walgensten (c. 1627–81), had a splendid French-inspired room specially furnished for the storage of books. This room was 78 metres long, and 11 metres wide with sixty-six Corinthian columns supporting a gallery that extended along all four walls. The floor was laid in black and white marble, and three large ceiling paintings were suspended from the roof. Following the demolition of the room in 1909, the materials were used elsewhere and can be seen today in various places: the marble floor forms part of the great hall at Christiansborg castle, some of the columns can be found forming sections of the ceremonial hall and the exhibition galleries at the National Museum of Denmark, and the remainder of the columns are at Koldinghus.
Two further reading rooms were established at the National Library in 1781–84. The architect C. J. Zuber (1736–1802) copied one of them from Walgensten's room of 1673, while the furnishings and fixtures he used in the other room were more austere. These two rooms can still be seen in their original location at what has since become the Danish National Archives.