At a ceremony in the state capital, Gusau, Sharia judges or Kadis were sworn in and Sharia courts formally declared open.
The events were greeted with enthusiasm by the state's Muslim majority.
Thousands of people cheered on the streets of Gusau cheered and shouted "God is great".
The governor of Zamfara, Ahmed Sani, has provoked a nationwide controversy with his decision to introduce Sharia.
He said the law is intended to check prostitution, drunkenness, stealing, robbery and gambling.
Christian fears
But Christians who dominate southern Nigeria have reacted with indignation.
The situation is complicated by the fact that there is a substantial Christian minority in northern Nigeria who now fear that their freedoms are under threat.
Governor Sani has repeatedly stressed that Sharia will only apply to Muslims and that Christians in Zamfara have nothing to fear.
But uncertainties remain: it is not clear, for instance, how the Nigerian police will co-operate with the new system, or what will happen with cases that involve both Christians and Muslims.
Others to follow
Meanwhile, several other states have said that they intend to follow Zamfara's example.
The most important of these is Kanu, the most populous state in the north, which is home to many Christian migrants from the south.
Last week, the Kanu state assembly passed a bill to introduce Sharia.
But the governor, aware of the acute sensitivity surrounding the issue, has still not signed it into law.
In a third state, Niger, Christians have organised demonstrations and shut their shops in protest at the governor's decision to present a Sharia bill to his state assembly.
Related to this story:
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Islamic law raises tension in Nigeria
(20 Jan 00 | From Our Own Correspondent)
Nigerian state 'bans' women's football
(07 Jan 00 | Africa)
Nigerian state adopts Islamic law
(27 Oct 99 | Africa)
Nigerian Christians challenge Sharia plan
(18 Oct 99 | Africa)