Cristiano Ronaldo missed a stoppage-time penalty and Al-Nassr was eliminated from the King's Cup in a 1-0 loss to Al-Taawoun.
The five-time Ballon D'Or winner has yet to win a major trophy since signing for the club almost two years ago.
Playing at the round-of-16 stage of Saudi Arabia's premier knockout competition, Al-Taawoun took the lead on Waleed Al-Ahmad's header with 20 minutes remaining. Al-Ahmad was then whistled for a foul in the area in the 95th minute.
Ronaldo had converted all 18 of his previous penalties for Al-Nassr but this time shot over the bar to the shock of the home crowd of 14,519.
The defeat is the first for Stefano Pioli since the Italian succeeded Luis Castro as head coach in September.
Ronaldo and Al-Nassr still have two chances at silverware this season but are already six points behind leader Al-Hilal after eight games of the Saudi Pro League and have seven points from three games in the group stage of the Asian Champions League.
“Technically we performed well but we couldn't win the game,” Pioli said. “We feel disappointed to be out of the cup. But we still have two trophies to go for and we will give our best in them.”
