We report the discovery of multiple shells around the eruptive variable star V838 Mon. Two dust shells are seen in IRAS and MSX images, which themselves are situated in a shell of CO. This securely establishes V838 Mon as an evolved object. We revisit the light echo, which arises from scattering off the innermost resolved dust shell, to infer a distance to V838 Mon of >~5.5 kpc. The dynamical timescales of the ejected shells, location in the Milky Way and inferred luminosity are consistent with V838 Mon being a low-mass AGB star experiencing thermal pulses of which the 2002 eruption might have sent the star into the post-AGB phase. This scenario, however, is inconsistent with the presence of a (young and massive) B3 V companion.