Ahead of Eid al-Adha, the faithful went to Muzdalifa, 10km from Makka, to collect the stones used for the practice.
Then in Mina, also near Makka, pilgrims approached the pillars to stone the target. They stood in ditches several metres deep behind a fence or on a bridge built over the site for extra security.
According to tradition, it is the place where Satan appeared first to Ibrahim, to his son, Ismail, and to Ishmail's mother Hagar. All three pillars are to be stoned as the ritual resumes on Friday and Saturday.
Last year saw 251 pilgrims trampled or suffocated to death during a stampede as they vied to hurl pebbles at the pillars.
"Thanks to God, the stoning of the jamarat is taking place in the best possible manner," said Information Minister Fuad al-Farsi.
About 10,000 police officers patrolled the area on Thursday to ensure a smooth flow of pilgrims. Interior ministry spokesman Brigadier-General Mansur al-Turki said: "Thanks be to God, no incidents so far."
After the stoning, most pilgrims walked directly to a slaughter yard where they slaughtered a sheep, either with their own hands or by asking an attendant to do so. Pilgrims paid about $120 for the animal. Some pilgrims preferred to avoid the slaughter and bought a coupon.
The revenue from the slaughtered sheep and the coupons go to a fund that pays for the meat to be distributed among low-income people outside Saudi Arabia.
Many Muslims marked the Eid day by visiting the graves of their relatives and remembering the deceased, before celebrating the rest of the day with friends and family.
For many Muslims the day began with dawn prayers in a mosque, where the sermons often mentioned the Israeli-Palestinian conflict and Iraq.
At a mosque in the Lebanese capital, Beirut, Shia Muslim cleric Shaikh Ahmad Kurani blasted what he called the US "invasion of our lands (Iraq) ... seeking to humiliate us".
In Iraq itself, the streets of the capital Baghdad were quiet in sharp contrast to Wednesday's five bombings.
Iraqi Muslims make early
morning prayers on Eid day
Cleric Muhammad al-Sumaidi spoke of the city's plight in his sermon.
"Baghdad is the city of science, city of kings, city of believers. It has now become the city of explosions and hideout of criminals," he said.
Saudi King Fahd and Crown Prince Abd Allah bin Abd al-Aziz marked the start of Eid al-Adha with a call on Muslims to disavow terrorism, which they said was taboo in Islam.
"The meanings of the Eid in Islam are many. They include the Muslim's sympathising with the needs of fellow Muslims ... and cooperating with them in what is good ... away from excess and extremism," they said in a joint message.
Muslims should embark united on "a course that disavows terrorism, which spreads mayhem and seeks destruction and was forbidden by Islam", said the message to Muslims reported by official media.
What is Hajj?
All able-bodied Muslims are required to make the pilgrimage or Hajj at least once in their lifetimes, if they can afford it. About two million pilgrims perform the Hajj each year.
The pilgrimage begins with the circling of the Kaaba, the large cubic stone structure in Makka that Muslims face during their five daily prayers.
Pilgrims go to the nearby Mount Arafat, where Islam's 7th century prophet Muhammad gave his last sermon in AD 632, three months before his death.
After the devil-stoning ritual, which will be performed until Saturday this year, pilgrims will shave their heads or clip a lock of hair, and then return to Makka for a final circling of the Kaaba.