The band opened the show with Jumpin' Jack Flash and lead singer Sir Mick Jagger addressed the crowd in Spanish saying: "Hola Habana, buenas noches mi gente de Cuba" - which translates as "Hello Havana, goodnight my people of Cuba", state media reported.
He continued: "We're finally here. I'm sure this will be an unforgettable night."
The show went ahead despite reports that the Pope had tried to halt the Good Friday concert.
A tour insider told the Mirror: "The band's team were flabbergasted when the Vatican got in touch by letter - couldn't believe their eyes.
"Much as they didn't want to upset the Pope, they had a contract to play and were going to honour it.
"They have made a promise to the Cuban people and won't let them down."
Another source told the newspaper the Stones replied to the Vatican, saying other global music events were being held on Good Friday.
Sir Mick appeared on stage in a maroon silk shirt and a maroon and black sequinned jacket with black lapels.
Richards sported a black and white bomber jacket with a multi-coloured headband while Wood opted for a bright blue jacket and green T-shirt.
Watts chose a rather more demure white T-shirt and pale blue trousers for the high-profile show.
After the concert, the band posted the set list on their official Twitter page, revealing the hits they performed for the crowd.
It included Out of Control, Angie, Honky Tonk Women, You Got The Silver, Before They Make Me Run, Midnight Rambler, Miss You, Gimme Shelter, Start Me Up, Sympathy For The Devil and Brown Sugar, as well as All Down The Line, which was chosen by fans on social media, and an encore.
The band's music was banned in Cuba for many years because it was considered subversive and blocked from the radio.
Cubans listened to their music in secret, passing records from hand to hand and the band built up a huge fan base on the isolated island.
Hundreds of thousands of those fans poured into the Ciudad Deportiva stadium to watch the veteran rockers.
Sir Richard Branson told his Twitter followers he would be supporting the band at their landmark show, writing: "Excited to be heading to Cuba to see my friends the RollingStones rock Havana! StonesCuba."
Sir Mick, Charlie Watts, Keith Richards and Ronnie Wood flew into Jose Marti international airport on Thursday with family members and crew aboard their private plane.
Their concert is the second landmark event in the country this week, after the visit by American president Barack Obama - the first US leader to visit the country since the 1959 revolution.
Sir Mick greeted fans in Spanish on their arrival at the airport, saying he was happy to be there.
Before their landing the band released a video in Spanish with English subtitles, saying: "We have performed in many special places during our long career but this concert in Havana is going to be an historic event for us. We hope it will be for you too."
The Rolling Stones have been touring Latin America with concerts in Mexico, Peru, Colombia and Brazil.
The band performed their hit You Can't Always Get What You Want with a choir and then Satisfaction as their encore.
In a post on their website they said the audience in Cidudad Deportiva was "probably their biggest ever crowd".
Sir Mick told the ensembled fans: "We know that years ago it was difficult to listen to our music here in Cuba, but here we are, playing for you in your beautiful land. I think that finally things have changed, haven't they?"
The group later wrote on Twitter: "Thank you Cuba for an incredible, unforgettable show! It was wonderful to see all of you!"