The Pablo Picasso picture, titled Woman's Head, was donated by the artist to the gallery in 1949.
The painting by Dutch artist Piet Mondrian, titled Stammer Mill with Summer House dates from 1905.
A third artwork taken from the gallery, a sketch by Italian painter Guglielmo Caccia, is said to have been destroyed.
Police arrested a 49-year-old construction worker who is said to have confessed to involvement in the crime.
According to Reuters Greece’s culture minister Lina Mendoni said the Picasso is especially important “as the great painter personally dedicated it to the Greek people for their struggle against fascist and Nazi (occupying) forces and bears his hand-written dedication.”