LAST DECEMBER, on a cold night in Amsterdam, a crowd packed into the newly expanded Stedelijk Museum for the opening of a major retrospective of Los Angeles artist Mike Kelley. The 19th-century institution had just undergone a nine-year, $172 million overhaul—much of it poured into the construction of a creamy new wing dubbed The Bathtub. Inaugurating the space with a show of Kelley's work was designed to send a signal to the contemporary art world that the museum was back, and smartly so.

Organizers devoted nearly six years...