The dance took place outside the King Abdulaziz Historical Center, The Associated Press reported, before a banquet dinner for Trump and Saudi Arabia's King Salman at Murabba Palace in Riyadh.
The festive gathering was part of the extravagant welcome for Trump, his family and senior administration officials during Trump's first foreign trip as president.
Hours earlier, Trump received the country's highest civilian honor, the Collar of Abdulaziz Al Saud Medal.
Trump and King Salman also signed of a pledge to "counter violent extremism, disrupt the financing of terrorism and advance defense cooperation" and a pledge to bolster arms sales worth nearly $110 billion.
More about: #DonaldTrump #SaudiArabia