Joao Felix and Ronaldo formed Al Nassr's attacking duo, as usual, while Samu Costa was left out of the matchday squad through suspension.
In the 10th minute, Ronaldo scored what would have been the 983rd goal of his career, but the referee ruled it out for offside against Abdullah Al Hamdan, who provided the assist.
It was not Al Nassr who scored next, but Al Kholood, who took the lead in the 16th minute when Abdulrahmen Al Dawsari set up Julien Domingues for 0-1.
Al Nassr's response was swift, however. In the 24th minute, Joao Felix combined with Angelo, who made it 1-1.
The turnaround came before half-time, with Joao Felix again providing the assist, albeit unintentionally this time, for Sadio Mane to make it 2-1 in the 38th minute.
Al Kholood drew level at 2-2 in the second minute of stoppage time, with Julien Domingues, the scorer of the opener, setting up Loic Essomba for the equaliser.
Just a minute later, right on the half-time whistle, Cristiano Ronaldo found the net again, but the Al Nassr captain was denied once more as the goal was ruled out.
Early in the second half, Joao Felix was booked before seeing a backheel effort go wide in the 49th minute following good play from Mane.
In the 54th minute, Al Kholood lost Shaquille Pinas to injury, with Abdulrahman Al Obaid coming on.
Quickfire hat-trick
Then, in the 66th minute, Ronaldo did finally score the 983rd goal of his career, converting after Joao Felix laid the ball off to give Al Nassr a 3-2 lead.
In the 72nd minute, Ronaldo then scored his second, with another assist from Joao Felix - his fourth of the match. The cross found the Al Nassr captain at the far post, where he headed home his 984th goal.
In the 81st minute, Ronaldo completed his hat-trick. Mane provided the assist after a magnificent pass from Joao Felix sent the Senegalese forward through. Unable to get past goalkeeper Yousef, Mane instead laid the ball off for the captain to finish.
As a result, Ronaldo now needs only 15 more to reach the 1,000-goal milestone in his career.
In stoppage time, Al Nassr conceded a penalty after a VAR review. Julien Domingues converted from the spot to score his second of the match.
The victory took Al Nassr to 28 points and temporarily sent them top of the table, level on points with Al Qadsiah. Al Hilal, who have a game in hand, have 27 points.