The former Manchester United forward collapsed to his knees as nine-man Al-Hilal triumphed 5-4 in a penalty shootout, following a 1-1 draw after extra time in Jeddah.
The 39-year-old, who set a new Saudi Pro League scoring record with 35 goals, was consoled as he was led off the pitch and sat on the bench in tears.
The Portugal captain has scored 58 goals in 64 games for Al-Nassr since joining on a free transfer in January 2023 after leaving United, but finishes the season without a trophy.
His only piece of silverware in Saudi Arabia is last year’s Arab Club Champions Cup win.
After former Wolves midfielder Ruben Neves missed the first penalty for Saudi Pro League champions Al-Hilal, former United defender Alex Telles also missed.
The teams then scored their next four penalties, including Ronaldo, before goalkeeper Yassine Bounou saved Al-Nassr’s final spot-kicks, allowing Al-Hilal to secure a domestic double.
Former Fulham striker Aleksandar Mitrovic opened the scoring for Al-Hilal in the seventh minute before goalkeeper David Ospina was sent off in the 56th minute.
Ayman Yahya scored a late equalizer to send the game to extra time, during which Al-Hilal’s Ali Al-Bulayhi and Kalidou Koulibaly received red cards.