The Romanesque Iglesia San Juan de los Caballeros was once the burial place of the leading families of Segovia. The building now houses the Museo Zuloaga, which displays works by the painter Ignacio Zuloaga and the ceramic artist Daniel Zuloaga.

In 1905, Daniel Zuloaga purchased this Romanesque church to set up his workshop here. The museum was created in 1974 to provide a home for the works produced by the Zuloaga family. Inside there is an exhibition of works by Ignacio Zuloaga, along with oil paintings, watercolours and ceramics by Daniel Zuloaga and his children.