"Our 1,000 artworks are headed for destruction anyway because of the government's indifference," said Antonio Manfredit of the Casoria Contemporary Art Museum in Naples, as he set fire to the first painting on Tuesday.
Artists have given their permission for this and the first piece was by French artist Severine Bourguignon, who was in favour of the protest and watched it online.
Manfredi says he will burn 3 paintings a week from now on, in a protest he has dubbed "Art War".
Many artists from across Europe are lending their support, including Welsh sculptor John Brown, who torched one of his works, Manifesto, on Monday.
Brown said that the loss of his artwork had not been particularly upsetting: "We work in a fairly contemporary manner so the process of making art, and the interaction with people, is more important than keeping it as a precious object."
He referred to the burning of his work as "a symbolic act" to "protest against the way the economic crisis is being dealt with".
"These cuts reach beyond the confines of the visual arts and affect the cohesive well-being of millions of people all over the world."
says that one of Italy's leading galleries, the Maxxi Museum of Contemporary Art, had its funding cut by 43% in 2011.
In the video
, Patrick Young, Executive Director of investment firm DV Advisors says although Italy's art protest should be treated as a joke, the problems it highlights are very serious.