The exhibition, entitled "Rembrandt, History Painter", will be open from October 15 until January 6, with 35 paintings and five prints from the 17th century Dutch master on loan from other great European and US museums.
"There is no better way" to launch the new season, said Prado director Miguel Zugara.
The museum said the exhibition "will focus on the subject of Rembrandt as a narrative painter.
"Although the artist was a great portrait and landscape painter, his activities as a history painter reveal particularly clearly the way in which his art continued the tradition of European Renaissance painting, while also allowing us to appreciate its originality," it said in a statement.
The exhibition will be staged in the Prado's new modern wing, which opened in October 2007.
The extension has meant the number of visitors to the Prado reached a record of three million over the last 10 months, as compared to 2.65 million for the whole of 2007.
Around 60 percent of the visitors are from overseas, led by Americans, Zugara said.
Other future exhibitions planned include a show of works by British artist Francis Bacon, which is currently in London, and classical sculptures from the Albertinum Museum in Dresden, Germany.