The Library has an excellent collection of exhibition catalogues from many major galleries and are a great resource to help you discover artists and their work.
The exhibition catalogues are located on the upper level of the Murray Library (shelved at 700) allowing you to browse the shelves by artist name.
Use the Library Catalogue to locate them, refining your search results by Exhibition Catalogues. You can search by the artist, gallery, title of the exhibition or by keyword (e.g. David Hockney, Tate Gallery or Sensation: young British artists from the Saatchi Collection).
This video shows you how search for, and find, the catalogues.