He said: "We have always been interested in strengthening peace, dialogue and cooperation on the international stage."
The conference is part of a recently announced initiative by King Abdullah to promote dialogue between Muslims and followers of other monotheistic faiths.
The meeting is being attended by Muslims, Christians, Jews, Hindus, Buddhists and practitioners of several other Eastern religions.
Last month, a summit in Mecca was held where King Abdullah's tone was one of reconciliation between Islam's two main branches, Sunni and Shia.
At the Mecca meeting, the King, a Sunni Muslim, entered the hall with Akbar Hashemi Rafsanjani, a former Iranian president and leading Shia politician.
Ahmed Versi, editor of The Muslim News, a London-based newspaper, said the Madrid event was highly significant because Saudi Arabia had included the Jewish community for the first time in inter-faith discussions, despite opposition from some participants at the Mecca conference.
Versi said: "There were people in the Mecca dialogue who said there should not be dialogue with those Jews who support Israel.
"So it's a huge and very important step they've taken - especially considering that King Abdullah himself attended the event - which he doesn't normally."
Other guests included David Rosen, a prominent Irish-Israeli rabbi, whose presence is being hailed by many as a sign that the Saudis are serious about reaching out to the Jews.
|King Juan Carlos of Spain, left, said he hoped the meeting would succeed [AFP]
Rosen, who is head of inter-religious relations at the American Jewish Committee, a Jewish advocacy organisations in the United States, said critics are missing the point.
"What is historic about this is that it is organised by the king of Saudi Arabia,'' he said.
"To hear the king of Saudi Arabia talk about tolerance, moderation and co-operation between the religions to address contemporary challenges is quite something."
When asked what he hoped to get out of the three-day gathering, Rosen said: "The significance of this event is the fact that it is happening. I didn't have any great expectations with regards to the intellectual content."
Rosen, however, is not listed as an Israeli in conference literature, prompting officials in Israel to question the extent of the Saudis' commitment.
Also attending the opening ceremony were Tony Blair, the former British prime minister and Reverend Jesse Jackson, the US civil rights leader.
In Saudi Arabia, two television stations carried the conference opening live, and stories about it were on the front page of several daily newspapers.