Canova's The Three Graces is among the works featured

She and the Duke of Edinburgh saw pieces such as Canova's The Three Graces and Velazquez's Rokeby Venus, among some 400 artworks.

The Queen was particularly interested in a Michaelangelo chalk study, bought in 1926 for �600 and worth �15-20m.

The Saved! show at the Hayward Gallery in London also features works by Picasso, Mondrian, Rodin and Titian.

It is dedicated to sculptures, paintings and treasures saved by the National Art Collections Fund over the past 100 years.

The royal couple laughed and chatted as they were shown separately around the exhibition, formed from a selection from 500,000 pieces now based in collections around the UK.

This Velazquez masterpiece is in the exhibition

Picasso's Weeping Woman and Botticelli's �10m masterpiece Virgin Adoring the Sleeping Christ Child are on show.

But the exhibition also contains modern work such as Julian Opie's Pop Art portrait of the band Blur and Anish Kapoor's large silver egg-shaped sculpture entitled Turning The World Inside Out.

"[The Queen] was puzzled by some of the objects in the contemporary space," said David Barrie, director of the Art Fund.

"I'd better not say which ones, it was in a good-humoured way."

The Queen enjoyed her visit

The Queen was also shown the last letter written by Mary Queen of Scots which was composed just a few hours before her execution.

The script, dated 8 February 1587, is addressed to her brother-in-law King Henry III of France.

"Tonight after dinner I have been advised of my sentence. I am to be executed like a criminal at eight in the morning," it reads.

Saved! marks the reopening of the gallery following a revamp which includes a new foyer extension and glass pavilion, as well as the Fund's centenary.

But some critics have questioned whether the Funds' work deprives people abroad of the chance to enjoy some of the world's greatest art treasures.