The only other female British Prime Minister, Margaret Thatcher, met with King Fahd of Saudi Arabia in 1985.
In response to criticism about London's silence over the Saudi aggression against Yemen, May defended the British relationship with Saudi Arabia and said she had no problem bringing up the country's human rights record during the trip.
The UK is also in the early stages of trying to agree a post-Brexit free trade deal with the six countries of the Gulf Cooperation Council, including Saudi Arabia. Saudi Arabia plans to list less than 5 percent of the world's largest oil-producing company on the Saudi exchange and another global exchange, possibly by next year.
However, she has come under pressure from politician to tackle Saudi Arabia on its human rights record and alleged infringements of worldwide law in its military intervention in Yemen, in which it is accused of causing civilian deaths.
Before heading to Saudi Arabia, May sought similar objectives in Jordan.
Former first lady Michelle Obama and former President Barack Obama visited Saudi Arabia to pay respects to the late King Abdullah and held meetings with the current leader, King Salman bin Abdulaziz Al-Saud.
PM May's visit to Saudi was aimed at strengthening the bilateral ties and increasing trade with the largest Arab economy which is among one of the top buyers of United Kingdom defense equipment along with being world's largest defense spenders.
The coalition has carried out hundreds of air strikes and sent troops to support Yemen's internationally recognised government against Iran-backed Shiite Huthi rebels who have seized control of large parts of the country.
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The two-year-old civil war has killed more than 10,000 people, half of them civilians.
May has made it clear she believes Saudi women deserve greater freedoms.
Mrs May said: These new partnerships, on defence and security, trade and the economy, education, healthcare, culture and sport, evidence the breadth and depth of the UK's relationship with Saudi Arabia.
May also said she would continue to raise the issue of women's rights in Saudi Arabia, suggesting they would be able to look to her for inspiration.
"The May doctrine of foreign policy is that everything we do is in our British national interest", Mrs May told the BBC.
He called on the United Kingdom to immediately suspend the sale of United Kingdom arms to Saudi Arabia, "that could be used to carry out yet more atrocities in Yemen".
Vision 2030's goals included increasing women's participation in the workforce from 22% to 30%.