Your first stop is the National Archaeological Museum near Piazza Cavour. Here, wander among one of the most important archaeological collections of art and artifacts from Magna Grecia, ancient Egypt, and ancient Rome in Europe. The highlights are the mosaics, everyday objects, and monumental statues unearthed from Pompeii, Herculaneum, and Stabiae. Explore the palatial museum with a guide to grasp the full historical context.

One of Southern Italy’s most extensive art galleries lies in a sumptuous Bourbon palazzo atop a hill (Capodimonte means “head of the mountain”). Stroll through the Royal Forest (Real Bosco di Capodimonte) next to the museum and explore the cavernous galleries. See paintings by Botticelli, Caravaggio, and Titian (Andy Warhol, too!) on the first floor, and continue to the second-floor gallery dedicated to Neapolitan artists from the 13th to the 19th centuries.

When you’ve had your fill of antiquity, check out the modern art at the Donnaregina Contemporary Art Museum, also called “Madre” (mother). Close to the Naples Cathedral (Duomo di San Gennaro) on the Way of Museums (Via dei Musei), the museum has three floors of art from international heavyweights such as Warhol, Buren, Koon, and Hirst. The local angle is most interesting—don't miss the second-floor exhibits focusing on Naples' relationship to well-known artists and contemporary art movements.

Art has transformed the Sanità, one of Naples’ poorest neighborhoods, from a hardscrabble area dominated by the Camorra mafia to a must-visit arts district. Pass the tenement alleyways teeming with shops on Via Sanità to spot the street art and murals that have brought new life to the Sanità—highlights include Spanish artist Tono Cruz's Luce (Light) and a building-wide mural of Totò and Peppino, two local actors and comedians beloved throughout Italy.

Naples teems with shops, but Via San Gregorio Armeno, the narrowest of alleyways linking Via Dei Tribunali with Spaccanapoli in the historic center, is the most famous. Year-round, artisan shopkeepers peddle their pastori, terracotta figures made to decorate the nativity scenes throughout the city during Christmas. Tour the historic quarter to see the motley statuettes: Some are intricate figures crafted in Neapolitan folk art traditions, while others are crass celebrity caricatures.

Not far from the San Domenico Maggiore Church, a collection of remarkable late baroque sculptures hides in the Sansevero Chapel. Giuseppe Sanmartino’s Veiled Christ, a sculpture with realistic folds that seem ready to slide off the statue, draws visitors from far and wide. Two other veiled figures are worth the trip: the veiled statue of Modesty and a figure veiled in a fisherman’s net. The chapel museum is small, often closed, and popular so purchase tickets ahead of time.

Read any recent Naples travel guide, and you’ll see pictures of the swirling blue-violet mosaic gracing the ceiling and walls of Toledo Station. William Kentridge’s equestrian sculptures guard the entrance. Underground, ambient colors shift from black to ochre to blue and green, and by the train platforms, a light installation mimics sea waves. Explore the station after walking along Via Toledo, Naples' top shopping destination and gateway to the street art-heavy Spanish Quarters.

Stay on Via Toledo and visit the Galleries of Italy (Gallerie d'Italia) in the Banco di Napoli Building (not the Palazzo Zevallos Stigliano, their former home nearby). Naples plays the leading role in the art, organized into chronological routes spanning the 17th to the early 20th centuries and the post-war period to today. But the shining star is another Caravaggio, the last he ever painted, The Martyrdom of Saint Ursula.

It's said that Naples has the densest concentration of churches in Italy—it would be remiss to visit without viewing religious art. See some of the city's finest at the Church of Sant'Anna dei Lombardi, a church and convent in Piazza Monteoliveto in central Naples. Inside, find some of the most refined Renaissance religious art south of Florence: Gaze up at the vaulted ceiling frescoes in the Vasari Sacristy, and don't miss Guido Mazzoni's Lamentation over the Dead Christ.

This former monastery overlooking Naples from the posh Vomero neighborhood is an oasis of peace with a Neapolitan and Italian art collection from the 16th to the 19th centuries. In addition to the art, see the elaborate 800-piece Presepe Cucinello nativity scene and the marble skulls in the Great Cloister. Don’t miss the views from the terrace, and leave enough time to walk the Pedamentina, a scenic urban path down stairways to the contemporary street art in the Spanish Quarters.