The 30 paintings come from public and private collections worldwide and several of those from private sources are being shown publicly for the first time.
The show is being supported by Freud and is curated by his assistant and model of the past 15 years, the painter David Dawson, with the help of Catherine Lampert, who selected the Freud retrospective held in Dublin in 2007.
Gallery principal James Holland-Hibbert holds an important loan exhibition at his gallery every other year and Henry Moore, Barbara Hepworth and 1960s pop artist Gerald Laing are among those already featured.
Since Mr Holland-Hibbert deals at the highest level with the kind of painters featured in his loan exhibitions (he sold a Hepworth and two Henry Moores at this summer's Grosvenor House fair), he has the contacts to mount such shows.
Lucian Freud: Early works 1939-1954 is the first exhibition since 1997 devoted solely to the artist's early years. He painted the earliest works on show at just 16.
The show follows Freud's vision from the time of what he termed his "maximum observation" to after 1954 when he wanted to "free myself from this way of working". During this period Freud spent time in Greece, Paris, Ireland and Scotland as well as Paddington.
He had his first solo exhibition at the Lefevre Gallery in London in 1944.