Sprinter Kariman Abuljadayel became the first woman from Saudi Arabia to compete in the Olympic 100m.
The 22-year-old, dressed in a full-body kit and hijab, was unable to qualify, finishing seventh in her preliminary heat in a time of 14.61 seconds.
Afghanistan's Kamia Yousufi also raced in a hijab and full bodysuit, finishing last in her heat in 14.02secs.
Middle distance runner Sarah Attar was the first female track athlete to run for Saudi Arabia, at London 2012.
Aged 19, she wore full clothing and a hijab as she finished last in her 800m heat in London, clocking two minutes 44.95 seconds in London - more than 43 seconds behind heat winner Janeth Jepkosgei Busienei of Kenya.
Attar is due to compete in the women's marathon at 13:30 BST on Sunday.
The Saudis lifted their ban on women competing in the Olympics in 2012.
Wojdan Ali Seraj Abdulrahim Shahrkhani competed without a hijab in the judo competition in London, aged 16.