Kalla won the women's skiathlon cross country race ahead of Norway's Marit Bjørgen, preventing her from collecting an unprecedented third straight gold medal in the event.
But Bjørgen still became the most decorated woman in Winter Olympics history as she claimed her 11th medal. Third came Finland's Krista Parmakoski.
The world champion in the skiathlon, Bjørgen was the heavy favourite to claim the first gold medal of the 2018 Olympics as she had done in Vancouver in 2010 and again in Sochi four years later.
But the 37-year-old lost out by 7.8sec to Kalla, who won in 40min 44.9sec.
The gold medal was one of five on offer on the first day of full competition, with the others coming in speed skating, short-track speed skating, ski jumping and biathlon.
All eyes on Korean hockey team
The most attention-grabbing event of the day for however is the debut of the unified Korean women's ice hockey team which will face off against Switzerland.
The Korean squad have been written off as contenders in the Olympic women's tournament. But they symbolize the sense of rapprochement between the two Koreas, highlighted at Friday's Olympic opening ceremony when athletes from both sides of the heavily fortified border marched together into the stadium for the opening ceremony.
They were watched by the North's ceremonial head of state Kim Yong Nam and the sister of the North leader Kim Jong Un, the first Kim dynasty member to venture south since the 1950-53 Korean War.
The mood of reconciliation strengthened Saturday with North Korea's Kim inviting South Korean President Moon Jae-in to Pyeongchang for a summit at the earliest opportunity.
Twelve North Korean hockey players have been drafted in to the South Korean squad to form the unified team but they are not expected to progress in the tournament despite the vocal support from North Korea's all-female band of
The North's head of state Kim will also attend the hockey clash between the Koreas and Switzerland along with the South's President Moon while it is unsure whether Kim Yo Jong, the powerful sister of the North Korean leader, will join them.
They are rank outsiders in the tournament for which they only qualified by virtue of being the host nation, and are likely to suffer defeat against the Swiss.
Other contests to watch on Saturday
In speed skating, the racer to watch is Dutchwoman Ireen Wust, hoping to repeat her victories in 2006 and 2014 with a win in the women's 3000m. Wust could also become only the second Dutch athlete to successfully defend an Olympic title since the legendary Sven Kramer's back-to-back golds at 5000m in 2010 and 2014.
Short-track speed skating makes its Pyeongchang debut with South Korea's best hope for a haul of gold medals, Choi Min-jeong, starting her campaign with the 500m qualifiers.
In biathlon, in-form Anastasia Kuzmina of Slovakia, is tipped to take the sprint title for the third time following victories at the 2010 and 2014 Olympics.
In ski jumping, Poland's Kamil Stoch was second in men's normal hill qualification and goes into Saturday's final with a strong chance of claiming gold, to add to his two from Sochi in 2014.
By AFP's Charles Whelan