The result allowed Al Ittihad to leapfrog Al Nassr into first place in the Saudi Pro League after 20 games.
Ronaldo, 38, played the entire match but had just one shot on target. Video footage showed the Portugal captain kicking water bottles on the touchline as he left the pitch with his teammates.
It was Al Nassr's second league defeat of the season but Ronaldo's first since joining the club as a free agent in December after terminating his contract with Manchester United by mutual consent.
Ronaldo wrote on Instagram after the match: "Disappointed with the result, but we stay focused on our season and the games ahead. Thank you Al Nassr fans for your support, we know we can count on you!"
Ronaldo had also failed to score against Al Ittihad in the 3-1 defeat in the Saudi Super Cup semifinals on Jan. 26.
The former Real Madrid forward, who was named the Saudi Pro League's Player of the Month for February for his match-winning performances for Al Nassr, has not found the back of the net in the last two games.
A five-time Ballon d'Or winner, Ronaldo has scored eight goals, including four at Al-Wehda on Feb. 9, and set up two more in eight appearances for the Riyadh-based club.