Friday's defeat left the Portuguese forward in tears at the end of the drama as he remains without a trophy after two seasons in Saudi Arabia.
Al-Hilal's Aleksandar Mitrovic scored in the shootout, as did Ronaldo, but goalkeeper Yassine Bounou was the hero as he saved Al-Nassr's final two penalties to secure the trophy after three players were sent off before the game went to extra time.
The teams, who dominated the Saudi league campaign before Jorge Jesus's side won the title for the 19th time, were locked at 1-1 after 90 minutes when a last-gasp equaliser from Ayman Yahya forced the extra period but there were no goals.
Mitrovic had put Al-Hilal ahead after seven minutes when he headed home Malcom's cross in the presence of Crown Prince Mohammed bin Salman at King Abdullah Sports City.
Ronaldo fired a spectacular bicycle kick against the post after the break but he was in any case offside.
Al-Nassr were then reduced to 10 men when goalkeeper David Ospina used his hand to prevent Malcom getting past him outside the box in the 56th minute.
Coach Luis Castro replaced forward Sadio Mane with substitute keeper Walid Abdullah and, despite being a man down, Al-Nassr still pushed for an equaliser, with Ronaldo's long-range free kick saved by Bounou.
With the clock running down Al Hilal's Ali Al-Bulayhi received two yellow cards within 10 seconds for violent conduct in the 87th minute and after he was dismissed Ayman Yahya equalised for Al-Nassr.
Al-Hilal were then reduced to nine men when defender Kalidou Koulibaly received his second booking, but they managed to hold on in extra time to force a shootout and emerge triumphant.
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