The exhibition, titled "Scicolone, Lazzaro, Loren," begins with photos of her turbulent childhood in southern Italy and follows her rise to stardom.
"I was surprised they wanted to do an exhibition about me. I don't know if I deserve it," a tearful Loren said at a news conference Thursday launching the exhibit. "This makes me happy, proud and at loss for words."
"I remember everything perfectly, because everything I chose (to display) is very important to me," the 71-year-old actress said. "I never forget anything."
Her screen credits include "A Countess From Hong Kong" with Marlon Brando and "Houseboat" with Cary Grant. She won an Oscar in 1962 for "Two Women."
The show, which is free, runs through May 7.