Shawn Usher from Letters of Note unveiled the letter from Lord Fisher to the former British Prime Minister from September 1917.
Writing to Churchill about some "utterly [upsetting]" newspaper headlines of the time, Lord Fisher said: "I hear that a new order of Knighthood is on the tapis - O.M.G (Oh! My! God!) Shower it on the Admiralty!!"
Churchill later replied: "Oh Dear Fisher! I am laughing heartily out loud!!"
'OMG' was added to the Oxford English Dictionary in 2011, and is generally used in conversations to express surprise, excitement, embarrassment, or even disgust.
It is thought to have originated from online chatrooms, online gaming and text messages as an abbreviation. It is frequently used by celebrities such as the stars of The Only Way is Essex and Paris Hilton, while Usher scored a number one with 'OMG' in 2010.
Lord Fisher was a renowned British admiral who had a large influence on the Royal Navy. He died in 1920.