Focused on the late 1990s during the bloodshed in Kosovo, the play also relates to the period after Milosevic's ouster in a popular revolution in 2000 and his subsequent U.N. war crimes trial.
Director Nenad Todorovic, a Serb from Kosovo, explained that "the theme (of the play) is Milosevic because he is the last Serbian taboo."
Milosevic is widely seen as the main architect of the bloody Balkan conflicts, but Serbs in both Kosovo and Serbia remain divided over his historic role even though his rule brought sharp economic decline, international sanctions and a crackdown on political opponents.
Tens of thousands of Serbs fled Kosovo after the war, while those who stayed behind live mostly in the Serb-dominated north or in Serb-populated enclaves elsewhere in the country.
Spiced with humor and music performed by a choir, the Milosevic play drew laughter from many in the audience with details from Milosevic's family life, but it also angered some who walked out before it ended. Those who stayed gave it a long applause.
In Pristina, Agim Selimi, the ethnic Albanian dean of the Kosovo Arts Faculty, said that "any topic may be treated" artistically.
"I believe that everybody, especially in the Balkans, should discuss both positive and negative sides of anything because that is very important for the future of the Balkans," he said.
Milosevic died in 2006 while on a genocide trial at the tribunal in The Hague, Netherlands.
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Associated Press writers Jovana Gec in Belgrade, Serbia and Llazar Semini in Tirana, Albania, contributed to this report.