Students say it is the only programme of its kind in the conservative Islamic kingdom which lacks a film industry and has no similar course for men.
Students and one of their instructors say the three-year-old programme in visual and digital production is developing Saudi Arabia's nascent film sector, and in the process helping the push for cinemas.
"I would like to make stories that touch people's emotions," aspiring producer-director Reem Almodian said in a soft voice from behind the face-covering niqab which many Saudi women wear according to customs.
She reveals her interest in making a film about the sensitive topic of youth depression.
"It'll open parents' eyes," said Almodian, whose study focuses on film and television production.
Students in the four-year undergraduate course can also choose to concentrate on animation, screenwriting or interactive media, which include gaming and virtual reality.
Jawaher Alamri, 20, has also looked to her own experiences for the basis of a short "monologue" documentary.
"People always told me I looked different," said Alamri, who grew up in Jubail, north of Dammam, before crossing to the other side of the country to study in Effat's film programme.
Her monologue explored the theme: "How can I find my own definition of happiness?"
This is the point of studying film, said Khalida Bataweel, 20, who is concentrating on interactive media.
"We would like to express our own feelings and our history to the world," she said, speaking with her colleagues at the third Saudi Film Festival which began in the Gulf coast city of Dammam on Thursday night.
Bentley Brown, an American filmmaker who teaches screenwriting and interactive media at Effat, said about 13 of the students have films or screenplays among the 125 works in the juried five-day competition.
He says the students are exploring "topics of intellectual importance" in their work.
TELLING THEIR STORIES
Mai Alshaibani, 21, is hoping for a win with her first-ever screenplay "S.A.D.", the story of Ahmed and his girlfriend Sara whom he leaves to marry Dina.
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Alshaibani is a psychology major with a minor concentration in video and digital production.
She, like several other students interviewed, spoke in fluent English which is the private university's language of instruction.
Like almost all of them, her face was uncovered.
All except one of the fulltime faculty member are expatriates, including a Korean animation instructor, Brown said.
Accomplished Saudi filmmakers such as Shahad Ameen also lend their expertise, he said.
Ameen won second prize in the drama category at last year's Saudi Film Festival and returned this year as a judge.
On its website, the university says the visual and digital production course allows students to develop "as a filmmaker, designer and/or a technical developer and gain not only the creative skills required, but also the practical knowledge to ensure your employability in the creativity sector."
Saudi Arabia has one of the world's toughest restrictions on women and is the only country where they cannot drive.
The sexes are separated in restaurants and other public facilities. Women are subject to male "guardians", family members who must authorise a woman's travel, work or marriage.
Such restrictions make it more difficult for women to pursue cinematic studies, because men can attend foreign film schools, said Almodian.
"We're kind of limited with our options," she said when asked why a women's university became the first to offer such a course.
Although public cinemas are not allowed in Saudi Arabia there is a growing interest in cinema and filmmaking, as reflected in Effat's programme and the re-emergence of the Saudi Film Festival last year after a seven-year absence.
Saudis are voracious consumers of online videos and rank among the world's top viewers of YouTube.
Private film screenings are also held, and the first Youth Film Fest occurred about a month ago in Jeddah.
The absence of cinemas is no reason not to "tell the story" that needs to be told on film, says Rawan Namngani, 21, who entered a short personal documentary in the Jeddah festival.
A cinema is just one of many platforms where films can be shown, she said.
"We start to make films, then we're gonna get cinemas."