Senior Shia cleric Sheikh Nasser al-Usfur led the prayers at the grand Shia mosque in Manama, Al-Alam news network reported.
Sunni and Shia worshippers stood side by side at the mosque in a show of unity.
The idea of holding joint congregational prayers had been suggested by the Institute for Reconciliation and Civil Dialogue in Bahrain.
The institute said similar joint prayers will be held next week in a Sunni mosque in Bahrain.
The move is aimed at strengthening Islamic unity in the face of recent terrorist attacks on Shias in different parts of the region.
In Kuwait, too, Shia and Sunni Muslims held prayers together one week after a suicide bomber killed 27 people at a Shia mosque in Kuwait city.
The ISIL terrorist group claimed responsibility for the attack.
There have also been two terrorist attacks against Shia mosques in Saudi Arabia in recent weeks.
ISIL said it was behind those attacks as well.