Acting on an anonymous tip, officers discovered three paintings rolled in a tube near a public toilet close to Whitworth Art Gallery in Manchester, northern England.
Greater Manchester Police said the artworks were taken to the gallery for safekeeping and examination by an expert.
A major investigation was launched after staff noticed the paintings were missing shortly before the gallery was due to open on Sunday. The works have an estimated total value of $1.6 million.
Police said they could have been taken any time after 9 p.m. on Saturday.
They named the works as Van Gogh's "The Fortifications of Paris with Houses," painted in 1878, Picasso's "Poverty," painted in 1903 and Gauguin's "Tahitian Landscape," painted between 1891 and 1893.
The gallery has a collection of 40,000 works of art.