Typically for a man who keeps his identity secret, the whole project has been shrouded in mystery, with media, local councillors and even staff at the museum only finding out about the project Friday, the day before it was due to open.
It has over 100 exhibits, including 70 new works. One of the pieces is a sculpture designed to convey a mother bird and two chicks in a nest but using three CCTV cameras instead to symbolise Britain's surveillance society.
"This is the first show I've ever done where taxpayers' money is being used to hang my pictures up rather than scrape them off," Banksy was quoted by the BBC as saying. "This show is my vision of the future."
Many of Banksy's works are hidden amongst the art museum's more traditional paintings, mimicking a 2003 stunt when he smuggled a work into the Tate Britain gallery in London and stuck it to the wall. It went undiscovered for hours.
Banksy became famous through illegal outdoor graffiti, including painting on the West Bank barrier and leaving a life-size figure of a Guantanamo Bay detainee at the California theme park Disneyland.
Simon Cook, deputy leader of Bristol council who has responsibility for arts, said he was thrilled Banksy was back, despite his controversial nature.
"Everybody assumed it (his new exhibition) would be in Los Angeles, in New York, in London, but he insisted it came to Bristol... and it's just him coming home," Cook said.
A PR company representing Banksy released a statement, which it said came directly from the artist, explaining why he was staging the show in Bristol.
"Banksy, who is rumoured to hail from the Bristol area, but has never revealed his full identity due to ongoing legal complications, is mounting the show as a salute to the city, which supported his early street career," it read.
From small time graffiti artist to global star, Banksy's work has become so valuable that several of his street works have been salvaged and sold, including a painting on a wall in London that fetched 208,100 pounds in an online sale in 2008.
One of the highest sums paid for a Banksy at auction was 288,000 pounds for "Space Girl and Bird."