A museum spokeswoman says the "Moonrise Kingdom" star presented her one-person piece called "The Maybe" on Saturday.
There is no published schedule for the piece, which will occur about a half-dozen more times through the end of the year.
Swinton first performed the piece at the Serpentine Gallery in London in 1995. In 1996, she performed it in the Museo Barracco in Rome.
She won an Oscar in 2008 for best supporting actress for her role in "Michael Clayton."