Banksy - whose identity is not publicly known - is a British street artist who first emerged in Bristol.
Guerilla-style creation of art works are Banksy's trademark.
Social criticism, political statements, irony - that's how his "urban art" can be described, which critically scrutinizes current affairs.
While Banksy has claimed that he never sought commercial success, his murals sell for several hundred thousand dollars in auctions.
The Riyadh exhibition is being held at the King Abdullah Financial Centre and titled "The Art of Banksy - Without Limits", and features 70 graffiti paintings and photographs and a 10-minute documentary about the artist.
Local and foreign visitors who flocked to the exhibition see it as a sign of the kingdom's opening to new methods of creative expression.
The country has witnessed rapid social changes in recent years, including lifting bans on women driving, gender mixing and public entertainment.