[2] A competition was held to house the core of the collection in 1987–88 after Baron Thyssen, having unsuccessfully sought permission to enlarge his museum in Lugano (Villa Favorita), searched for a better-suited location elsewhere in Europe.

In a reversal of the movement of European paintings to the US during this period, one of the elder Baron's sources was the collections of American millionaires coping with the Great Depression and inheritance taxes.

In 1988, the Baron filed a request for building a further extension designed by British architects James Stirling and Michael Wilford, but the plan was rejected by the Lugano City Council.

She personally decided the salmon pink tone of the interior walls and in May 2006, publicly demonstrated against plans of the Mayor of Madrid, Alberto Ruiz-Gallardón to redevelop the Paseo del Prado as she thought the works and traffic would damage the collection and the museum's appearance.

One of the focal points is the early European painting, with a major collection of trecento and quattrocento (i.e. 14th and 15th century) Italian paintings by Duccio, Luca di Tommè, Bernardo Daddi, Paolo Uccello, Benozzo Gozzoli and his contemporaries, and works of the early Flemish and Dutch painters like Jan van Eyck (Diptich of the Annunciation), Petrus Christus (Madonna of the Dry Tree), Robert Campin, Rogier van der Weyden, Gerard David and Hans Memling.

There are Impressionist and Post-Impressionist works by the artists Claude Monet, Auguste Renoir, Edgar Degas, Camille Pissarro, Alfred Sisley, Berthe Morisot, Pierre Bonnard, Toulouse-Lautrec, Paul Gauguin, Cézanne, and Vincent van Gogh.

The large collection of twentieth century modern art includes Cubist works by Picasso, Braque and Juan Gris, as well as paintings by Edvard Munch, Egon Schiele, James Ensor, Kandinsky, Salvador Dalí, Paul Klee, Chagall, Magritte, Piet Mondrian, Edward Hopper, Jackson Pollock, Mark Rothko, Roy Lichtenstein, Willem de Kooning and Francis Bacon.

The selection of German Expressionism is extensive, and includes Emil Nolde, Ernst Ludwig Kirchner, August Macke, Max Beckmann, George Grosz, and Otto Dix.