The Central Market is a massive 1936 Art Deco building with neo-Egyptian step design on the doors, a frieze-like corregated band that runs around the structure and 22 entrances. Distinguishing features of the Central Market are the skylight which runs along the length of the building and the enormous glass panel windows. The windows and skylight are glazed with special 'Calorex' rolled plate glass which transmitted only 20% of the sun's heat and 60% of the light, making this a very energy efficient building.

Situated on the east bank of the Klang river and just south of its confluence with Gombak river, the market frontage measures 58 metres and the depth is 122 metres. It was originally designed with 2 storey in mind by RH Steed.

It served for almost 50 years as the city's 'wet market', where housewives roamed to buy their fresh supply of meat, fish, vegetables and fruits. It was scheduled to be demolished in 1984 but was saved and refurbished (a fine example of adaptive reuse of old buildings).

The whole building has been air-conditioned and a second level added. It re-opened on 15th April, 1986 as Pasar Budaya, a cultural and handicraft centre. The Central Market is filled with 280 shops, 7 restaurants, 1 food court, 43 small stalls and an exhibition centre.

The many shops housed in this heritage building offer antique, curios, batik, pewterware, woodcarvings, gems, dried and preserved food, local snacks and titbits, handicrafts, souvenirs among many others. Visitors can see local craftmen at work - portrait artists, batik painters, glass craftmen, T-shirt artists, souvenir makers, cobbler, key maker, seamstress, etc. There are restaurants and a food court for visitors to sample local food. Regular cultural performances are also staged here.

A section of Jalan Hang Kasturi (next to the Central Market) has been made into a pedestrian mall, the first in the city.

Near the south entrance to Central Market, just before the bridge to Dayabumi stands an antique (and still in use) red colonial postbox, with the British crown and manufacturer's name cast in the metal.