The exhibition in the department features over thirty private collections donated since the 1980s. Currently, the museum's collection includes more than seven thousand works of Russian and Western European art from the 15th to the 20th centuries. This includes painting, graphics, sculpture, applied arts, and artistic photography. The collections vary in focus and structure, are divided by types of art, and include monographic and thematic collections.

In major museums around the world, private collections are usually disbanded, and the works are distributed among different funds. Only the best works are selected for the exhibition, which disrupts the integrity of the collection and loses its uniqueness. The personality of the collector becomes interesting mainly to specialists.

The exhibition halls of the Department of Private Collections preserve the integrity of individual collections and emphasize the original intent of their creators. Special attention is paid to the personality of each collector, their tastes and preferences. According to Prince Sergey Shcherbatov, one of the first authors of the idea of creating a museum of private collections in Russia, such a museum should preserve the "spiritual connection" between the collection and its owner.

A special place in the collection is occupied by the collection of the museum's founder, the renowned scholar and cultural figure of the 20th century I. S. Zilberstein. It includes more than two thousand works of painting and graphics and occupies four exhibition halls. These are high-quality works created in various techniques and genres, representing the creativity of individual masters and artistic associations such as "The World of Art." Such collections could stand alone as museums.

Many collections are valuable due to the preservation of the original intent of the collector and high artistic quality. Among them is the collection of Russian realistic painting from the second half of the 19th and early 20th centuries by S. V. Solovyov, inspired by the activities of P. M. Tretyakov; the collection of Russian painting from the late 19th and early 20th centuries by Professor A. N. Ramm from Leningrad; and the collection of 19th-century bronze animalistic sculpture by Colonel of the Veterinary Service E. S. Stepanov.

The museum also introduces visitors to collections gathered by representatives of the Russian artistic and scientific intelligentsia throughout their lives. These include not only works of art but also memorial items that reveal the personality of the collector. The theme of the artistic environment of a creative personality is presented in the hall with paintings and graphics from the collection of the great musician and pianist Svyatoslav Richter. He was a friend of the Pushkin Museum and an inspirer of the musical festival "December Evenings," which is held annually at the museum. Svyatoslav Teofilovich donated to the Department of Private Collections a collection of works of painting and graphics by R. Falk, V. Shukhaev, N. Goncharova, D. Krasnopevtsov, and other artists.