In addition to donating the extensive codices he owned to the Monastery Library, Philip II also ordered the purchase of the best books and libraries from both inside and outside of Spain. Juan de Herrera created it, and Juan Bautista de Toledo positioned it in the vanished central tower of the south façade, enclosing the Basilica's atrium and integrating the main façade. The shelves it holds were also designed by Herrera. It is housed in a sizable nave that measures 54 meters long, 9 meters broad, and 10 meters high. The marble floor and the shelves are made of intricately carved wood.

For his first catalogue, Arias Montano chose some of the most significant pieces. It has a collection of more than 40,000 extraordinarily valuable titles. It was given the right to receive a copy of every book printed in Spain in 1616, albeit this privilege was never completely realized.

Frescoes of the seven liberal arts—rhetoric, dialectic, music, grammar, arithmetic, geometry, and astrology—decorate the library's barrel vault ceiling. Among the bookcases were portraits of several Spanish kings, including the well-known Silver Philip (Philip IV in a chestnut and silver suit), a painting by Velázquez that is now on display at the National Gallery in London. According to Father Sigüenza's iconological program, Pellegrino Tibaldi painted the frescoes on the vaults.

Philip II's decision to give his library to the monks of the Monastery to create a Center of Wisdom rather than dividing it among his other palaces, such as Aranjuez, Valsan, or the Alcázar of Madrid, and thus donating it only to his heirs, must have been influenced by Solomon's reputation as the wise king par excellence of the Bible.