The woman, in her 20s, lost control of her vehicle and crashed into the wall of a youth club in Riyadh, according to the website of the local Al-Jazeera daily.
The car caught fire and she died, it said.
Ultra-conservative Saudi Arabia is the only country in the world where women are not allowed to drive.
However, they usually get behind the wheel in desert regions away from the capital.
Thursday's deadly accident was not the first of its kind involving a woman driver. In January 2012, a female driver was injured and her companion killed when their car overturned in the northern Hael province.
And in November 2010, a woman driver was killed along with three of her female passengers in a similar accident.
Women in the kingdom who have the means hire drivers while others must depend on the goodwill of male relatives.
Women's rights activists make frequent calls to challenge the ban and those who do so post online videos showing themselves behind the wheel.
In addition to not being allowed to drive, Saudi women must cover themselves from head to toe and need permission from a male guardian to travel, work and marry.
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@Raj - USA: I agree. The more sensible law to pass would be to do away with the mandatory ninja garb forced on women so those who choose to drive can do so freely without impediments. But that's far too logical and mature a decision for Saudi to make.
Women are worst drivers .... Should be banned in pakistan as well
You cannot drive safely and properly wearing the burka that covers almost entire face, except for small opening for eyes. Also the burke restricts free movement of hands and feet and even the free-flowing loose dress may get stuck in brakes or accelerator. Allowing woman, so dressed, is a risk not only for them but also for other drivers and pedestrians on the street. So, Saudi laws banning woman are proper and logical, as they take into account the effects of wearing burka.