The Craft of Research by 
A Short Guide to Writing about Art by Most professors of art history require that you use of the Chicago citation style to create bibliographies and footnotes. There is also a variant of Chicago known as the Turabian citation style that is used as well. Because citations direct your reader back to the work of scholarship you are using in your research, they will differ slightly depending on the type of research material you are working with. For example, an article in a book will include information about the publisher of the book, while an article in a journal will include the name of the journal and its volume and issue number. It is best to include as much information about the resources you are working with as possible so anyone who wishes to look at those resources will be able to find them.
The Chicago Manual of Style Online is the venerable, time-tested guide to style, usage, and grammar in an accessible online format. It is the indispensable reference for writers, editors, proofreaders, indexers, copywriters, designers, and publishers, informing the editorial canon with sound, definitive advice.
Image captions should include both the location of the work of art itself, as well as the location of where you found the image. Below is an example of an image from the Metropolitan Museum of Art's collection and how you would cite it depending on where you found the image.
Title: Josephine Baker
Artist: Adolph de Meyer
Date: 1825 - 1826
Medium: Direct carbon print
Location of work: Metropolitan Museum of Art
Fig. 1. Adolf de Meyer, Josephine Baker, 1825 - 26. Direct carbon print. Metropolitan Museum of Art.
Fig. 1. Adolf de Meyer, Josephine Baker, 1825 - 26. Direct carbon print. Metropolitan Museum of Art. metmuseum.org.
Fig. 1. Adolf de Meyer, Josephine Baker, 1825 - 26. Direct carbon print. Metropolitan Museum of Art. The New Vision: Photography between the World Wars, Ford Motor Company Collection at the Metropolitan Museum of Art​. By Maria Morris Hambourg. New York: Metropolitan Museum of Art, 1989.