The album was compiled by the former King Edward VIII's equerry, Sir Dudley Forwood, and has been in his family ever since.
It features 60 photos, some previously unseen, of the duke meeting Nazis, including Adolf Hitler.
The album is due to be sold at Duke's of Dorchester on 10 March.
It details the visit the duke took with his new wife Wallis Simpson.
Sir Dudley said years later that the trip was made, not in order to support the Nazi regime, as many thought, but so that the Duchess could experience a state visit.
The equerry's invitation to the funeral of the Duchess of Windsor in 1986 is also being sold.
Timothy Medhurst, of the auction house, said: "It shows the couple in a relaxed environment being shown around by Nazis who are clearly proud of their nation.
"It is a unique piece of history compiled at a time when the Nazi war machine was preparing for European conquest and the systematic slaughter of millions of people."
The photographs show the duke and his wife visiting many places, including a mine, a winter relief headquarters, a lightbulb factory and a school.
Source: BBC History
Photographs showing the Duke of Windsor's visit to Nazi Germany in 1937 are expected to fetch up to Â£1,000 at auction.