The museum regularly presents exhibitions that include works from the Guggenheim's main headquarters in New York, as well as shows that include pieces on loan from one or more international museums. This intense exhibition schedule is carried out simultaneously with the acquisition and exhibition of contemporary artworks that constitute the museum's own collection.

Through a holding company, the Bilbao museum has been gathering significant examples of contemporary art by local and international artists, with the aim of forming its own autonomous collection, although its selection is in accordance with the criteria of the Guggenheim Foundation in New York.

Exhibitions at the museum are frequently renewed and mostly contain works created throughout the 20th century, with a minority presence of traditional paintings and sculptures compared to other artistic formats and installations, including electronic formats. Some art aficionados feel that the building itself stands out more than the works that make up the museum's collection. In recent years, following the general policy of Guggenheim centers, exhibitions of early art have been added, possibly with the purpose of attracting a wider audience. These exhibitions have included drawings by Michelangelo, old paintings from the Hermitage in St. Petersburg, Dürer prints (in 2007) and a selection of old paintings and objects from the Kunsthistorisches Kunsthistorisches in Vienna (in 2008).

In 2005, as part of the museum's permanent collection, "The Matter of Time", a series of seven monumental sculptures created by Richard Serra, was installed, joining "Snake", a sculpture created by the artist for the museum's inauguration.