The players visited the Noble Sanctuary, a compound that houses the Golden Dome of the Rock and al-Aqsa Mosque, the third holiest shrine in Islam.
"This is the most beautiful day in my life," said Yasser Al-Mishal, the president of the Saudi Football Federation.
"Really, it's hard to express my feelings. I thank God that I could visit al-Aqsa mosque and pray inside the mosque."
The Dome of the Rock is built where Muslims believe the Prophet Mohammad ascended to heaven. Jordan has custodianship of the holy sites.
Captured by Israel in the 1967 Six-Day War, the site is considered the holiest site for Jews, the location of the two biblical Temples, and is known as the Temple Mount.
It is the emotional epicenter of the Israeli-Palestinian conflict. The compound, which overlooks the Jewish holy site of the Western Wall, is a frequent flashpoint for Palestinians and Israeli security forces.
The Saudi players are due to face the Palestinian national team in the West Bank on Tuesday for a World Cup qualifying match.
Their arrival comes after approval from Israel.