Zhai wore a $4.4m Chinese-made spacesuit weighing 120kg, while Liu Boming, his colleague who stayed inside the craft, wore a Russian-made suit.
A team of Russian experts was at Chinese mission control to give assistance and advice on the spacewalk.
"They could probably do it without Russian help but it would certainly have taken more time for the Chinese to get to this point. If you look at the Shenzhou spacecraft you can clearly see a resemblance to the Soyuz spacecraft," Yuri Karash, a Moscow-based space policy expert, told Al Jazeera.
The risky manoeuvre was another a step towards China's longer-term goal of assembling a space lab and then a larger space station. Beijing has also suggested that it may attempt to land a man on the moon in the next decade.
Hu Jintao, China's president, watched a live transmission of the spacewalk, the highlight of the 68-hour mission, at the Beijing Aerospace Control Centre, according to the official Xinhua news agency.
"On this flight, Chinese people's footprints will be left in space for the first time," a commentary on Xinhua said. "This will give the world yet something else to marvel about China in this extraordinary year of 2008."
The mission has been touted by China's government as another demonstration of the country's technological prowess.
On board the Shenzhou VII were three astronauts, a range of experiments, a specially developed space menu and a new luxury for China's space programme – the country's first space toilet.
"China has a long way to go before they catch up with the United States, but they're gaining at a very rapid pace, and I think that the Americans have largely been caught unaware of the overall progress that China has made in recent years," Morris Jones, a spaceflight analyst based in Australia, told Al Jazeera.
"I think they're starting to realise that if they want to maintain their lead in spaceflight, they'll need to make some advances of their own in the near future."
The US and Russia are the only two countries other than China to have carried out a manned space flight.