The 'Material Girl' singer's directorial debut stars Abbie Cornish, Natalie Dormer and Oscar Isaac. Described as a romantic drama set over the course of 60 years, it focuses on two different love stories - one a contemporary relationship between a married woman and a Russian security guard; the other of King Edward VIII and American Wallis Simpson.
George Clooney's The Ides of March, Brad Pitt's Moneyball and David Cronenberg's A Dangerous Method will also screen at the September film festival.
Meanwhile, Davis Guggenheim's U2 documentary From the Sky Down will open the festival, following in the footsteps of last year's highly-successful premiere of the Bruce Springsteen documentary The Promise.
W.E. stars Cornish and Isaac previously praised Madonna's direction, describing her as a visionary. The film is currently scheduled for a December 9 release in the US.
W.E. and The Ides of March will both premiere in August at the Venice Film Festival.
The 2011 Toronto Film Festival runs from September 8 to September 18.
Watch the trailer for Brad Pitt's Moneyball below: