Ushayqir Heritage Village, which is around 96 miles away from Riyadh, is in Najd - one of the country's most conservative provinces.
Women in Saudi Arabia are required to wear "abayas" - loose-fitting, full-length robes - and headscarves.
The footage has divided opinions, with some Saudis calling for her arrest while others rush to her defence.
According to the BBC, journalist Khaled Zian tweeted: 'The return of the Haia [religious police] here is a must'.
They are also expected to carry a scarf with them in case they are asked to cover the head by the country's religious police, formally known as the Commission for the Promotion of Virtue and the Prevention of Vice. In France, the niqab is banned and women are fined if they wear it.
Traditional Saudi authorities exercise flogging of "subjects" for violating conservative laws of the kingdom. Others wrote that had the woman been a foreigner, people would be talking about her beauty, but because she is Saudi, they are calling for arrest.
'I thought she had bombed or killed somebody.
That said, although this a troubling situation, there is a bit of optimism to be had here when you take into account the number of women standing up in defense of Khluood, and freedom in general.