But only clubs linked to medical groups can get licenses and others will be closed, the Arab News newspaper said.
Saudi women were reported to have launched an online campaign in protest called Let Her Get Fat.
Government departments are not allowed to issue licenses for commercial gyms and sports clubs for women, unlike facilities for men, the newspaper reported.
It quoted club manager Bader al-Shibani, who tried to open a women's sports club along with the one he runs for men in Jeddah.
"I ran into a stone wall at every turn. Every department I visited denied that they had the authority to give permission to establish a women's club," he said.
Many clubs are registered as beauty salons, and offer fitness facilities and even exercise classes in addition, the newspaper said.
A spokesman for the Ministry of Municipal and Rural Affairs told the newspaper that commercial clubs do not have registration for the provision of sport and health services.
"It's clear that one department is now taking the decision to put an end to the increasing number of unlicensed clubs," lawyer and community activist Abdulaziz al-Qasim told Arab News.
A group of women launched an internet campaign in protest against the move, saying facilities linked to medical clinics were too expensive, and their health would suffer as a result of the closures.
Women in Saudi Arabia are banned from driving, must wear a head-to-toe cloak when out in public and must obtain permission from a male relative to work, travel, study or marry.