The Queen saw the Olympic Superdome, the Stadium Australia and the Aquatic Centre, all purpose-built at Homebush Bay, a former industrial wasteland on the edge of Sydney.
Australian Prime Minister John Howard last year chose to break with tradition and not invite the Queen as head of state to open the spectacle.
He originally proposed to do it himself, but after media and public pressure, he asked the Queen's representative in Australia, Sir William Deane, instead.
As the royal party toured the site on Tuesday, triple-gold medal-winning swimmer Dawn Fraser said she thought the Queen was the right person to open the Olympics.
"I would have preferred the Queen to open the Games because it would have meant a lot to the athletes," she said.
Ms Fraser campaigned against retaining the Queen as head of state in last year's referendum but she said she was "a big fan" and that her political views did not extend to the Olympics.
Corgi question
In an apparent allusion to dwindling public support for the monarchy, the Queen said in a speech at the Olympic site that she would "maintain a deep affection for Australia, whatever the future may bring".
The Queen saw the Olympic Superdome, the Stadium Australia and the Aquatic Centre, all purpose-built at Homebush Bay, a former industrial wasteland on the
edge of Sydney.
Small but loyal crowds turned out to greet the Queen both there and at Sydney Children's Hospital which she visited earlier.
One little girl, who has cystic fibrosis, asked the Queen how many corgis she had.
The Queen replied: "I've got four and one's just had puppies, so we've got more now."
Contaminated cheese
No further security breaches were reported following Monday's incident when a man armed with a knife was arrested near a venue the Queen was to visit.
Gregory Pailthorpe was subsequently placed in psychiatric care indefinitely.
The Duke of Edinburgh, meanwhile, went on a separate visit to a cheese factory in Wagga Wagga.
But after he refused to wear a sterile white laboratory coat and hat over his suit, staff said they feared a whole day's production of cheese would have to be destroyed.
"You can't take the risk of contamination," said cheesemaker Barry Lillywhite.
On Wednesday, the Queen will leave Sydney and visit a primary school and Aboriginal radio station in Bourke before heading to Canberra for a state banquet.
It is her first visit to Australia in eight years.