I have been told that the MFA is haunted by the spirit of its founder.  The story is that when she died she requested that her ashes be buried in the sculpture garden.  She visits the museum, keeping an eye on it to this day.  The staff say they haven't heard this and it isn't haunted,though I have had a couple of folks who have gone there say that they felt like someone was there...

However, they do have a lot of great death images at the MFA.  
Area 2:  Heavy feeling.  Two people also reported feeling an anxious feeling here at the start of the trail leading to the second bridge, further down in the park.
Haunted Museum of Fine Art
Downtown St. Petersburg
Area 3:  Debbie reported a dark/heavy feeling on this bridge (below).  She stayed to try for video and EVP, with no results.
Member Reports
Urban Legends of Pinellas County

Dec. 6, 2017: Did an interview with Lucasfilm VP Doug Chiang last night at the Museum of Fine Arts. While waiting, I did talk to some of the MFA employees about the urban legend that the ashes of the founder were buried on the site and that she haunts the building. One had heard the story. He has also described some experiences with seeing ghosts but, alas, he has felt nothing at the museum. He' been there a number of years, too. I was glad that he had at least heard of the legend though! So many of them that I know no one else has heard.....it's a wee bit frustrating!

Feb. 4, 2018:  Former employee did confirm that the ashes of Mary Stuart are buried on the museum grounds.  However, this person reiterated that not a single person she knew, including the security guards who are there late at night, ever reported running into any form of ghost.