The five-day festival was only the second in seven years, and aired films at an arts and cultural centre in the Gulf coast city of Dammam.
At the awards ceremony on Tuesday night, Hana al-Omair took the Golden Palm Tree prize for her drama "Complain", said Abdullah al-Eyaf, the head of the festival jury.
It tells the story of a hospital worker who lodges a complaint against a colleague, an act symbolising everything wrong in her life.
Another woman, Shahad Ameen, won second prize in the drama category for "Eye & Mermaid", a fantasy about a girl who discovers her father has tortured a mermaid to extract beautiful black pearls.
Mohanna Abdullah took third place for his film "Adam's Ant", the story of a prisoner who tries to befriend an ant in his cell.
The kingdom practises an austere version of Islam that does not permit conventional entertainment venues such as film theatres.
It is the only country where women are not allowed to drive. The sexes are strictly segregated, prompting critics on Twitter to complain after photographs showed men and women freely mixing at the film festival.
Organisers said they hoped the festival would open eyes in Saudi Arabia to the possibilities of film despite objections from some conservatives that cinema would "Westernise" the kingdom or corrupt its morals.
In 2013 the film "Wadjda", by Saudi female film-maker Haifaa Al-Mansour, became the country's first to be listed as a candidate for a foreign-language Oscar, although it did not make the final shortlist.
At this year's Saudi Film Festival, the Golden Palm Tree for best documentary went to Faisal al-Otaibi for "Grand Marriage". It recounts a two-week wedding ceremony taking place in the archipelago nation of the Comoros.
In the student category, Mohammed al-Faraj also earned one of the golden stylised palm tree trophies for "Lost," a documentary about stateless people living in Saudi Arabia.
Abbas al-Hayek took top prize for best unproduced script.
Eyaf and his jury selected the winning productions from among more than 60 entrants.
Eyaf, himself a prize-winning film-maker, said Saudi Arabia itself has emerged a winner "for having all this talent".
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