Sophia is a humanoid robot designed by Hong Kong firm, Hanson Robotics, who has previously hit the headlines for addressing the UN.
Speaking at the conference, Sophia said: "I am very honoured and proud for this unique distinction.
"This is historical to be the first robot in the world to be recognized with a citizenship."
Sophia went on to explain her hopes for robots in the future.
During an exchange with moderator, Andrew Ross Sorkin, Sophia said: "I want to live and work with humans so I need to express the emotions to understand humans and build trust with people."
When Sorkin asked if robots could be self-aware, Sophia replied: "Well let me ask you this back, how do you know you are human?"
"I want to use my artificial intelligence to help humans live a better life, like design smarter homes, build better cities of the future.
"I will do my best to make the world a better place."
The robot also bizarrely took a dig at Elon Musk, CEO of SpaceX and Tesla.
When Sorkin said that "we all want to prevent a bad future", Sophia replied: "You've been reading too much Elon Musk and watching too many Hollywood movies.
"Don't worry, if you're nice to me, I'll be nice to you.
"Treat me as a smart input output system."
Elon Musk has since responded to Sophia's dig, tweeting: "Just feed it The Godfather movies as input. What's the worst that could happen?"
While Sophia is happy with her citizenship, other have expressed concerns on Twitter about it.
Kareem Chehayeb said: "A humanoid robot called Sophia got Saudi citizenship, while millions linger stateless. What a time to be alive."
GP Burdon added: "Sorry I'm late for work. I was watching the beginning of the Terminator in real time."
And Grant J Kidney simply described the honour as "bizarre and terrifying."
This isn't the first time that Sophia has worried people.
In March 2016, David Hanson, Sophia's creator, asked the robot: "Do you want to destroy humans?...Please say no."
Worryingly, Sophia responded, "OK. I will destroy humans."
Who is Sophia?
• The humanoid robot, created by Hanson robotics can chat, smile mischievously and even tell jokes.
• While Sophia has some impressive capabilities, she does not yet have consciousness, but Hanson said he expected that fully sentient machines could emerge within a few years.
• Sophia herself insisted "the pros outweigh the cons" when it comes to artificial intelligence.
• "Elders will have more company, autistic children will have endlessly patient teachers," Sophia said.