Museo Nacional de Arte, usually called MUNAL, fills the former Palace of Communications near Palacio de Bellas Artes. The building is part of the pleasure, with Porfirian-era grandeur, a lavish reception hall, and a sculpture-filled central patio.
The collection covers Mexican painting and sculpture from the 16th century into the early 20th century. Give it real time if you care about art: this is not a quick gallery, and the permanent collection is strong enough to anchor a half day in the historic centre.