The game, which mixed the Harlem Globetrotters and the 12 North Korean players into two teams, ended diplomatically in a 110-110 draw.
After the game, Rodman thanked the North Korean leader for the invitation.
"Although relations between the two countries are regrettable, personally I am a friend of Marshal Kim Jong Un and the DPRK people," he said, according to Chinese news agency Xinhua.
The 51 year-old winner of five NBA championships arrived in Pyongyang on Tuesday with Harlem Globetrotters and a VICE television crew to shoot a documentary about North Korea for HBO. Their agenda includes a children's basketball camp hoping the visit will engage in a bit of "basketball diplomacy."
VICE released a statement saying that correspondent Ryan Duffy invited Kim to visit the U.S., an invite that was met with laughter from Kim.
Relations between the two countries are tense as the U.S. is imposing tough sanctions on North Korea which has pressed ahead with a nuclear weapons program and a missile program, and saying bluntly it is aimed at the U.S.
VICE also said that Kim dined and drank with the Americans after the game. It was put less diplomatically by VICE producer Jason Mojica who tweeted, "Um… so Kim Jong Un just got the # VICEonHBO crew wasted… no really, that happened."
VICE founder Shane Smith said in the statement, "We here at VICE are very pleased that Kim Jong Un could make it to the game and that everyone enjoyed themselves so much. To see everyone letting their hair down and getting into the match made it all the more worthwhile."
Rodman, who has been known for his wild outfits that have included a wedding dress, was conservatively attired in a dark jacket along with his trademark lower lip and nose piercings which North Koreans would not have ever seen due to restrictions and customs in terms of dress code. On his arrival in North Korea, Rodman tweeted: "I'm not a politician. Kim Jung Un & North Korean people are basketball fans. I love everyone. Period. End of story. #WORMinNorth Korea."
Rodman is to visit Panmunjom bordering South Korea before leaving on March 5.
Rodman's visit came a month after Google CEO Eric Schmidt and former New Mexico governor Bill Richardson visited North Korea. But despite Kim's eagerness to project a more modern and technologically advanced country, neither Schmidt nor Richardson met with Kim.