The Holy Day Closet is reached from the gallery leading from the Tudor State Apartments. It is open to visitors on weekdays, but not to school parties or groups of more than ten persons, and it overlooks the main part of the Chapel Royal. The King and Queen used to worship there from Tudor times. Queen Catherine Parr, the sixth and last of King Henry VIII's queens, was married to the King in the Queen's Holy-day Closet, now the Lady Chapel where services are said on weekdays throughout the year. Religious paintings from the Royal Collection are exhibited in the Holy Day Closet.
The present arrangement of the Holy Day Closet shows the extensive alterations made by Sir Christopher Wren for King William III and Queen Mary II and for Queen Anne. Queen Anne would have sat in the Winter Closet on the north side of the Holy Day Closet to worship and hear sermons in the Chapel Royal. Since her reign the Holy Day Closet has often been called 'The Royal Pew'. Samuel Pepys recorded in his Diary in the 1660s that he had heard a very good sermon here.