Museo de Segovia is the city's broad provincial museum, housed in the Casa del Sol by the old walls. It gathers the material culture that sits behind Segovia's postcard sights: prehistoric pieces, Roman mosaics, Visigothic objects, religious sculpture, coins, glass, and paintings.
It is especially useful after seeing the aqueduct and cathedral, when you want the province to feel less like a single monumental city and more like a long-settled landscape. The collection is compact enough for a focused visit, and its location makes it easy to fold into a walk around the southern edge of the old town.