Girls at Amal Institute in the Red Sea city of Jeddah competed in a volleyball tournament last week after the school built new sports facilities, also for basketball, tennis and hockey, Al-Hayat said.
In April, the Muslim kingdom's Shura Council, a consultative body, recommended after a heated debate that the longstanding ban, already relaxed in private schools last year, be scrapped.
The appointed body, whose 150 members are overwhelmingly male, can only pass on its recommendation to the education ministry and has no powers to impose it.
All education in Saudi Arabia is strictly single-sex, but sports in girls' schools remains a sensitive issue in the Gulf state, where women have to cover from head to toe when in public.
The council cited a ruling by the kingdom's late top cleric, or grand mufti, Sheikh Abdel Aziz bin Baz, that women were entitled to play sports "within the limits set by Islamic law."
The topic of Saudi women in sport came under the spotlight at the 2012 Olympic Games in London, when the kingdom bowed to international pressure and sent female athletes to compete for the first time.
The International Olympic Committee agreed to allow the two Saudi women -- a judo player and a middle-distance runner -- to compete with their heads and bodies covered in deference to the Islamic dress code enforced in Saudi Arabia.
But despite their participation, Human Rights Watch says that millions of Saudi women remain effectively barred from sports.
Saudi authorities shut down private gyms for women in 2009 and 2010, and women are effectively barred from sports arenas by strict rules on segregation of the sexes in public.