This is a special glass building, that was built in 1887, that was used as a greenhouse for exotic plants that were brought from the Philipines.
Actually, the Palacio de Cristal is more than just a designed greenhouse. This is a luxury greenhouse. The one who designed it is architect Ricardo Velázquez Bosco, the same person who designed the Kew Palace and Gardens in England.
Today, the Palacio de Cristal is one of the most beautiful buildings in the park, and is mainly used to display temporary art and exhibits by modern artists. As home to these exhibitions and a free extension of the Reina Sofia Modern Art Museum, this special palace is itself a kind of almost modern artistic creation.
Be sure not to confuse Palacio de Cristal with Casón del Buen Retiro, another museum in the park displaying paintings from the 19th century and on, including works by the Spanish Impressionist Joaquín Sorolla.