The rappers released their joint venture digitally on iTunes earlier this week, and have now opened the store to help avoid the album being pirated online.
The store is located at 201 Mulberry Street in New York's SoHo district. MTV described the building as being "wrapped in gold", like the album's cover art.
Inside, the Spike Jonze-directed video for lead single 'Otis' is played on a loop, while a Maybach vehicle featured in the promo sits in the back. The car will later be auctioned for an East African drought charity.
A deluxe edition of Watch the Throne will be sold at the store for $15 (£9), and the shop will be open until 6pm local time today. Jay-Z is also expected to make an appearance.
A Roc Nation representative told Billboard: "It was really important to [Jay-Z] that people experienced this album in its entirety when they first listened to it. That was really the driving force of it, to create that nostalgic moment of unwrapping the CD and listening to it for the first time."
Jay-Z and Kanye West were recently criticised for their release strategy for the Watch the Throne project, with independent record stores losing out to iTunes.
> Album Review: Kanye West & Jay-Z: Watch the Throne
Watch the video for 'Otis' by The Throne below: