Three dozen bishops and priests gathered to celebrate the mass, which was conducted in English with prayers in the Tagalog language from the Philippines, Hindi, Arabic and other languages.
"It is a wonderful day for us, we have been waiting for many, many years to have a proper place of worship," said Indian resident Robert Rodriguez, one of the estimated 10,000 people who gathered for the ceremony.
Only 3,000 worshippers could fit inside the packed dome building, leaving thousands more to gather outside the doors.
Nearby, five more churches are under construction for other Christian denominations in this oil-rich state, where over 70 percent of the population are expatriate workers.
The 2,700-seat church was built on land donated by Qatar's emir, Sheikh Hamad Bin Khalifa Al-Thani. Out of respect for local sensitivities, the exterior does not feature any religious symbols that identify the building as a place of Christian worship.
Qatar follows the rigorous Wahhabi teachings of Sunni Islam, and like neighboring Saudi Arabia had not previously authorized Christians to practice their faith openly. A Catholic priest had operated in Qatar without official approval since the 1960s.
The consecration and construction appear to be signs of Qatar's efforts to open up to the West as it seeks a bid for the Olympic Games in 2016.
"It is a dream coming true," said Bishop Bernardo Gremoli, a former vicar of Arabia who initiated the church project more than 20 years ago.
Some 150,000 Christians of all denominations live in the emirate. About 90 percent of them are Catholic expatriate workers from the Philippines, India and other Asian nations.
"This is a historic day for the Christian community," said Filipino Imelda Ilotin. "It signifies that people can live together in peace and diversity if they are guided by illuminated rulers," she said.
Gremoli, who carried the relic of Padre Pio to Qatar, said it was the first ever holy relic to be sent from Rome to a church of the Arabian Peninsula.
Padre Pio, a mystic Capuchin monk who had an enormous following in Italy and abroad, died in 1968 after living for decades with inexplicable, bleeding wounds on his hands and feet, like the wounds Jesus suffered at crucifixion. Pope John Paul II made him a saint in 2002.
Qatar's most ambitious move to open up to the world has come through sports. It held the 2006 Asian games and hopes to win the 2016 summer Olympics. A short list of candidate cities for the 2016 Olympics will be announced next June.