Ronaldo, five-times Ballon D'Or winner, had a couple of chances to score but was well shackled by the Al Ittihad defence for most of the match.
Anderson Talisca's goal for Al-Nassr in the 67th minute was not enough to turn around the deficit from two first-half goals for Al-Ittihad from Romarinho and Abderrazak Hamdallah.
Muhannad Al-Shanqeeti added the third three minutes into stoppage time.
Al-Nassr next travel to Al-Fateh in the Saudi Pro League on Feb. 3.