In a sign of their increasing closeness, the queen of pop was accompanied by boyfriend Jesus Luz as she relaxed after wowing fans in the Spanish capital on her Sweet and Sticky tour last week.
Among the works in the museum, home to European art from the 12th century through to the 19th century, are pieces by esteemed artists including Goya, Botticelli and Rembrandt.
Madonna - who herself owns an art collection of around 300 pieces, including a Picasso and a work by Frida Kahlo - must also be keen to inculcate Lourdes with an appreciation for culture. The 12-year-old went along for the excursion too.
During their whistle-stop stay in the city, the group visited another favourite tourist site, Madrid's Royal Palace.
While the historic building is the official residence of King Juan Carlos, there was no opportunity for the singer to meet Spanish royalty since the family prefer to reside in a smaller palace outside the city.
Come Saturday, it was back to business for the iconic performer. After her day of sightseeing, Madonna and her crew headed north to perform in Zaragoza for her tenth date of her European tour.