The boy band performed in front of a sell-out crowd at King Fahd International Stadium in Riyadh on Friday evening.
However they faced criticism for their decision to play in a country that has been condemned for human rights abuses.
BTS is one of the world's biggest acts - the first Korean pop group to reach number one on the US album charts.
Known for their meticulously choreographed dance style and boyish good looks, they boast a huge and devoted fan base.
The band had been invited to play in the country by Saudi Crown Prince Mohammed Bin Salman.
A day before the concert, major buildings in the capital were lit up in BTS' signature colour purple.