The Liverpool favourite completed a move to the Saudi Pro League this summer and made his first appearance in the division's curtain raiser.
Al Ahli fielded a star-studded side after making a number of high-profile signings.
Featuring alongside Firmino in a formidable front three was Riyad Mahrez and Allan Saint-Maximin, with Franck Kessie, Roger Ibanez and Edoaurd Mendy also handed their debuts.
Firmino's first strike came after just six minutes when a ball in from the right flank found the striker in the penalty area, with the 31-year-old looping a header beyond the goalkeeper.
Four minutes later, the Brazilian got his second with all three of Al Ahli's attackers involved in the build-up.
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Picking up the ball in the centre of the pitch, Saint-Maximin surged forward before playing it to Mahrez down the right channel.
The ex-Manchester City star then slotted a right-footed cross into the box and found Firmino who tucked home into the back of the net.
Things then got even better for the new Al Ahli captain as he completed his hat-trick in the 72nd minute with another effort from close range.
Firmino joined Al Ahli after he was released by the Reds at the end of last season to bring an end to his eight-year spell in Merseyside.
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The forward scored 111 goals in 362 appearances for the Reds, establishing himself as a true fan favourite.
And given his bright start in the Gulf nation, it won't take long for him to become just as popular amongst the Al Ahli fanbase.