More than 60 artists -- half of them women -- contributed work to the show, timed for yesterday's United Nations-designated International Day for the Elimination of Violence Against Women.
But when the artists arrived at the venue in the centre of the capital for the opening they found themselves locked out, while gallery staff were absent.
Curator Cui Guangxia told AFP a source close to the venue said the show had "not received approval from relevant departments".
She could not comment on the reasons for the closure, she said, adding that the works would be returned to the artists.
The sensitivity of the show's themes -- feminism and domestic violence -- are the likely reasons for the closure, Cui and artists involved said.
The ruling Communist party does not allow public challenge to its authority, and officials tightly monitor and sometimes cancel art shows in the country as well as prosecuting activists who dare to mount protests.
Restrictions have increased since President Xi Jinping came to power, artists say, with the country's premier independent film festival shut down for the last two years.
Cui was detained for more than a month last year over his public support for pro-democracy protests in Hong Kong.
Participants in the art show shared photographs of the display with AFP, with several paintings depicting women hung against white walls.
"Our exhibition cannot be held, but our attitude and standpoint is unchanged," feminist art critic Tong Yujie told the artists as they commiserated over the closure at a duck restaurant near the gallery.
"Eating together shows the exhibition is still continuing... This exhibition still has a place in art history," she added, to applause from other diners.
