Great Scotland Yard is a short street, almost a lane, which runs between Northumberland Avenue and Whitehall. Its name is thought to stem from the 12th century, when the Kings of Scotland had a palace on this site in London, for use by them and their ambassadors during stays in the English heartland. Even today, it is thought that the land may still belong to Scotland.
This is the most popular theory behind the name, the other possibility is that the area was originally owned by a man called Scott, hence every street around there became known as Scott's Land, later shortened to Scotland. What is known for certain is that the site's connection with the Metropolitan Police began around 1829, when they moved into number 4 Whitehall Place, with the main entrance on Great Scotland Yard.
Today this building houses the Department of Energy and Climate, while the Metropolitan Police are a decent walk away near St James Park. Despite the new headquarters being nearer Petty France than Great Scotland, the Met took the name with them and called their new premises New Scotland Yard. Consequently, Scotland Yard is now a synonym for the Metropolitan Police.