Both singers have Saudi roots and are popular across the Arab world, but fans said they have not seen Abdu sing in the Saudi capital since 1988.
Riyadh has not seen a music concert since the early 1990s, after which they were effectively banned in public spaces.
On Thursday, some 2,000 men attended the concert at King Fahad Cultural Centre hall, paying between 500 and 2,500 riyals ($133-$667) for tickets.
Dressed almost exclusively in Saudi traditional dress of white thobe gowns and chequered headgear, the male crowd swayed in time to the music, while a few stood up and danced in time to the drum beats.
Concert organisers Rotana Music said tickets were sold out within minutes.
Saudi Arabia began introducing entertainment despite opposition from Muslim hardliners.
Although conservatism still runs deep, there is pressure for change in a country where more than half of the population is younger than 25 and people are connected to the wider world through the internet.
They have a champion at the highest levels of power in Deputy Crown Prince Mohammed bin Salman who is pushing diversification of the oil-reliant economy and social reforms.
One of the most visible aspects has been entertainment, partly out of an economic motive to get Saudis spending at home rather than elsewhere in the Gulf.
The kingdom still bans alcohol, public cinemas and theatres. It usually segregates unrelated men and women in restaurants and other public places.
Agencies contributed to this report.