The donation, called the largest of its kind in the province's history, was announced Tuesday in Saskatoon.
The new art gallery is being built in the city's River Landing area and is scheduled to open in 2015.
Pablo Picasso, the famous modern artist who died in 1973, created the linocut prints between 1951 and 1966.
The 405 pieces are arguably the finest collection of Picasso linocuts in the world, according to the gallery's chief curator, Lisa Baldissera.
Saskatchewan philanthropist Ellen Remai said she's making the donation because she wants to put the new gallery on the international stage.
The gallery will have a special wing devoted to the Picasso collection.