The Israeli military coordinated the rare passage to the West Bank ahead of the holiday, saying it was part of its goal to ensure freedom of worship for all religions.
About 3,500 Christians live in Gaza among 1.5 (m) million Muslims.
Relations have traditionally been good, though there has been sporadic violence against Christians since the Islamic Hamas movement wrestled control of the strip three years ago.
Residents leaving Gaza on Thursday played down any differences with Hamas, saying they were in solidarity as Palestinians in the struggle against Israel.
“Of course I am very happy that I will see my relatives and join them for Christmas, it happens only once a year. The only problem is they did not issue permits for all of my children, not all of my children got permits,” said Hatem Al-Far, a man of Christian faith who lives in Gaza.
Christians currently comprise less than 2 percent of the population in the West Bank and Gaza, compared to about 15 percent in 1950.
Like many other Christian communities across the Middle East, many have moved abroad to flee political tensions or in search of economic opportunities.
Israel and Egypt imposed a blockade on Gaza after Hamas seized power there in June 2007, leaving Fatah controlling the West Bank
Most people inside Gaza are banned from leaving.
Moving to gradually ease the blockade, Israel will allow Gazans to export peppers starting next week.
This follows an earlier decision to permit export of textiles, furniture and agricultural products.
Meanwhile on Thursday in Jerusalem, Israeli President Shimon Peres hosted a children’s choir at his residence as part of Christmas celebrations.
The children in the choir were from the Arab Israeli town of Nazareth.