The Palacio Episcopal, the bishop's palace adjacent to the cathedral, contains the Ateneo chapel with its claimed Murillo painting of the Holy Family. The attribution to the great 17th-century Spanish painter is not conclusively proven, but the painting itself is genuinely old and genuinely good — and the claim makes it interesting to look at with that question in mind.
The building is worth visiting both for the painting and for the architecture: the colonial-era complex gives a sense of the ecclesiastical ambitions that shaped Matagalpa's built environment. Ask at the cathedral for access.