The easing of the strict gender segregation was announced in October 2017 as part of the ambitious reforms by Mohammed bin Salman, the 32-year-old crown prince.
On Friday, the women entered Pearl stadium, in the Red Sea city of Jeddah, through a special gate, while male supporters filed in through a separate entrance.
Saudi Arabia, which has some of the world's tightest restrictions on women, has long barred them - among other things - from sports arenas through strict rules that keep the sexes apart in public.
Glass panels were set up to separate men supporters from the women and family section of the stadium on Friday.
Under Saudi Arabia's existing guardianship system, a male family member - normally the father, husband or brother - must grant permission for a woman to study, travel and take part in a host of other activities.
Friday's match was the first in a series that will be open to women: a second is due to take place on Saturday and a third on 18 January.
And in June authorities are lifting a ban on Saudi women driving.