Cristiano Ronaldo was on target but Al Nassr were still ousted from the Asian Champions League quarter finals.
Al Nassr responded to a 0-1 first-leg defeat against Al Ain of the UAE by winning the return match 4-3 in Riyadh on Monday.
But they lost the penalty shootout 3-1. Ronaldo was the only home player to score in the shootout.
The 39-year-old Ronaldo did miss several chances in regulation time.
Soufiane Rahimi, the only goal-scorer from the first leg, was much more clinical on Monday. The Moroccan scored twice in the first half to give Al Ain a 3-0 advantage overall.
Just before the break, however, Abdulrahman Ghareeb pulled one back for Al Nassr, and just after, an own goal from Eisa made it 2-2 on the night.
With 18 minutes of normal time remaining, Alex Telles scored for Al Nassr to force the game into extra time.
Al Ain restored their lead through Sultan Al Shamsi, but with 118 minutes on the clock, Ronaldo scored from the spot to level the tie 4-4 on aggregate.