Rizana Nafeek, who was on death row on charges of having killed a four-month-old baby, was beheaded in the Dawadmi province near the capital Riyadh.
In 2007, Nafeek was convicted of the murder. She, however, denied the charges.
The Saudi Arabian government has gone ahead with her (Nafeek) execution despite assurances as late as last week from Sri Lanka's Ambassador to Saudi Arabia that she would be released, Sri Lankan newspaper Daily Mirror reported.
Members of Parliament observed a minute's silence in Rizana's memory, the report said.
On January 6, Rajapaksa had requested Saudi Arabia's King Abdullah to release Nafeek.
Yesterday, New York-based Human Rights Watch had also urged the King and the interior ministry to halt the execution of Nafeek.