Alone or accompanied by their families, many women sat in reserved seats in Jeddah's Pearl stadium.
Glass panels were set up to separate men supporters from the women and family section of the stadium.
Saleh Al Ziadi brought his three daughters to the game.
"My daughters still don't believe this is happening. They have not yet realised they will be cheering their favourite team inside the stadium," he said.
Enthusiasm for the historic encounter began well before the scheduled 8pm kick-off.
Lamya Khaled Nasser, a 32-year-old football fan from Jeddah, said she was proud and looking forward to the match.
"This event proves that we are heading for a prosperous future. I am very proud to be a witness of this massive change," she told AFP.
The Saudi government said last week women would be allowed to attend a second match on Saturday and a third next Thursday.
Back in September, hundreds of women were allowed to enter a sports stadium in the capital Riyadh, used mostly for football matches, for the first time to attend celebrations marking the country's national day.
Hours before the game, Saudi clubs were encouraging women to attend through tweets on social media.
Some clubs are offering special abayas -- traditional head-to-toe robes for Saudi women -- in team colours.
State-owned Saudi Airlines announced prizes of free tickets for five families who want to travel between cities to watch games.
And a spokeswoman for the Saudi embassy in the United States tweeted her delight at the development.
"This is more than women's rights: today's match between Al-Ahli and Al-Batin, and the ones to follow, are opportunities for families to come together and enjoy KSA's national sport -- soccer!" Fatimah Baeshen wrote on Twitter.