Pablo Picasso had donated his 1939 "Woman's Head" as a gift to the gallery in 1940 to recognize Greece's resistance to Nazi occupation. It was the only Picasso in the gallery's collection, the Athens-Macedonia News Agency reported.
Also stolen were a 1905 oil painting by the Dutch artist Piet Mondrian of a windmill next to a river and a pen-and-sepia sketch on paper of St. Didacus of Alcala with the Holy Trinity and symbols of faith by the 17th-century Italian painter Guglielmo Caccia, known as Moncalvo.
Another Mondrian painting was found in the courtyard outside the gallery.
A back door of the gallery had been forced open and the alarm system was deactivated.
Police were to review footage from the museum's surveillance cameras.