Al-Hilal won a penalty shootout 5-4 to decide a final that finished 1-1 after extra time in Jeddah.
Ronaldo, who signed for Al-Nassr in December 2022, fell to the ground in despair and was consoled by teammates at King Abdullah Sports City.
The 39-year-old had recovered his composure in time to collect his runners-up medal, but his mood was hardly lifted at the sound of rival fans chanting the name of his long-time rival, Lionel Messi, as he made his way down the stairs and back towards the pitch.
The loss came just four days after the end of a Saudi Pro League season in which Al-Nassr finished second, 14 points behind Al-Hilal. There was some consolation then as Ronaldo scored twice to set a new league record of 35 goals in a season.
There was no such comfort this time at the end of a tempestuous encounter that saw two goals and three red cards.
Aleksandar Mitrovic headed Al-Hilal ahead after seven minutes. It got worse for Al-Nassr early in the second half when goalkeeper David Ospina, formerly of Arsenal and Napoli, was sent off for handling the ball outside the area.
Al-Hilal was also reduced to 10 men after 86 minutes when Ali Al-Bulaihi was red-carded for an apparent headbutt on Sami Al-Najei.
Seconds later, Ayman Yahya headed Al-Nassr level.
Al-Hilal had another defender sent off in the 91st minute after Kalidou Koulibaly, signed from Chelsea last summer, received a second yellow card.
There were no goals in extra time and the final went to a shootout. Ruben Neves missed Hilal’s first attempt as did former Manchester United defender Alex Telles for Al-Nassr.
Ronaldo, who earlier hit the post with a spectacular overhead kick, converted his penalty but could only watch as Bounou, a hero of Morocco’s march to the semifinals of the 2022 World Cup, saved twice, the first from Ali Al-Hassan and then from Al-Nemer.
The saves gave Hilal an 11th King’s Cup triumph while Ronaldo and his team will have to wait until next season.
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