Getting up close and personal with the art world’s biggest names is always a thrill; museums worldwide provide easy access to priceless works by the likes of Pablo Picasso, Georgia O’Keeffe, and Andy Warhol. But to really understand these masters, it’s best to check out the cities that nurtured and inspired them.

Lifelong devotees make pilgrimages to the following destinations, just to further develop their appreciation of their favorite artists:

Pablo Picasso’s Barcelona

Pablo Picasso moved to this Catalan capital at age 14 in 1895, and studied at La Llotja art school. Housed in a Gothic building in the Plaça Palau, the school was near Picasso’s home in the Porxos d’en Xifré; from his terrace there, he painted surrounding rooftops.

Museu Picasso, housed in five Gothic palazzos, features more than 4,000 items, including rare early pieces and Blue Period masterworks. A short distance from there, the Plaça Nova is the site of Picasso’s only outdoor works in the city. Picasso’s friezes decorate the facade of the Col·legi d’Arquitectes.

Visitors in a hurry can take the year-round Turisme de Barcelona’s Picasso walking tour. Stops include La Llotja, the Col·legi d’Arquitectes, and the Quatre Gats, a beer hall and cabaret where the master held his first solo exhibition.

Round out a Picasso-focused visit with a stay at The Serras Hotel Barcelona, a luxury haunt housed in a historic building where Picasso had his first studio in 1896.

Andy Warhol’s New York City

To Andy Warhol—who moved to New York from his native Pittsburgh in 1949—the city was a canvas, a medium, and an inspiration. Warhol’s imprint can still be found all around Manhattan, with several key spots situated near his longtime home on the Upper East Side.

Warhol was once turned down by the Museum of Modern Art; today, the museum’s permanent collection includes roughly 250 of his works, including Gold Marilyn Monroe. The Guggenheim Museum also houses a collection of Warhol’s paintings, silkscreens, and photographs; highlights include Orange Disaster #5, Self-Portrait in Drag, Electric Chair, and Flowers.

Warhol fans can also retrace the artist’s steps at one of his regular hangouts. He was a loyal customer of Serendipity 3, the legendary dessert spot in Midtown East where Warhol was said to be partial to the lemon icebox pie. In SoHo, the old-school French bistro Raoul’s hosted Warhol throughout the late 1970s and ’80s. The Odeon, which opened in Tribeca in 1980, is another downtown hot spot that was regularly frequented by Warhol and friends such as Jean-Michael Basquiat and Keith Haring. Mr. Chow, a slick restaurant known for its pricey Chinese cuisine, was one of Warhol’s favorite eateries during his later years.

Warhol was a legendary shopper, and by some accounts his commercial lodestar was the flagship Bloomingdale’s. A short walk from his townhouse on East 66th Street, “Bloomie’s” was something akin to a museum of consumerism in Warhol’s eyes.

Serious Warhol followers can’t leave New York without paying respects to one of the artist’s factories, as he called his studios. The site of Warhol’s first Factory, on East 47th Street, is now a parking lot; the site of the final Factory, on East 33rd Street, hosts a modern glass-and-steel building.

Georgia O’Keeffe’s Santa Fe, N.M.

Georgia O’Keeffe’s time in the American Southwest served as inspiration for her paintings of New Mexico landscapes and images of animal skulls.

In 1997, 11 years after her death, the Georgia O’Keeffe Museum opened to the public in Santa Fe, N.M. The museum’s collection encompasses more than 3,000 works. It also oversees the preservation of O’Keeffe’s home and studio along the Chama River in Abiquiu, about an hour north of Santa Fe. The national historic landmark is open for tours by appointment.

Notable hotels and resorts such as the El Dorado Hotel and La Fonda on the Plaza offer O’Keeffe-themed packages, and the Santa Fe School of Cooking offers a three-hour Cooking Inspired by Georgia O’Keeffe class, which features stories and insights into O’Keeffe’s life from Margaret Wood, the artist’s longtime assistant. Culinary enthusiasts can also enjoy the O’Keeffe Table tasting menu at Eloisa Restaurant; the artfully presented, five-course meal pays tribute to O’Keeffe and the foods she grew and cooked at her Abiquiu home. Before departing Santa Fe, serious O’Keeffe fans are wise to stop by the New Mexico Museum of Art, which has a few of her works in its collection that may be on view at any given time.