It will operate five times weekly until 12 June, daily from 13 June to 2 September and four times weekly between 3 September and 6 October.
The first flight was inaugurated at a ceremony at Edinburgh Airport.
The airport said it marked "a significant step" in achieving better connectivity between the Scottish capital and North America.
Airport managing director Gordon Dewar added: "This new service will give Scottish passengers the opportunity to visit one of America's most exciting and vibrant cities and take full advantage of the onward travel options to many other US destinations.
"We're delighted to continue our good relationship with United and celebrate this new route's inaugural flight."
Deputy First Minister Nicola Sturgeon said the service highlighted the strong relationship between Scotland and the United States.
"This service will provide real benefits to Scotland's economy, encouraging more tourism, trade and investment by reducing the need for travellers to make connecting flights via London or the continent," she added.
The first direct flight service between Edinburgh and Chicago has been launched by United Airlines.