The 51-year-old pop star arrived in a black Mercedes van and was escorted into the tunnel by police. She made no comment to reporters and was whisked away about a half hour later.
Madonna isn't Jewish, but she's a follower of Jewish mysticism and has even taken the Hebrew name Esther.
She arrived early Sunday for a pair of concerts this week. It will be her first performance in Israel since 1993, though she came on private pilgrimages in 2004 and 2007.
Madonna is also set to meet Israeli Prime Minister Benjamin Netanyahu on Friday.