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.
Today'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.
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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.