In a game of few real chances for the New Zealand attackers, their best chance fell to Daniel Saric late in the game but he couldn't beat the Saudi keeper after being teed up by Dakota Lucas.
New Zealand coach Neil Emblen was encouraged by his side's performance.
"Ultimately, playing a full national team is fantastic preparation for an Olympic campaign,'' he said. "It gave the lads a taste of the pace and level of international football and I think, goals aside, for long periods we played really well.
"There was a lot of courageous defending, and generally there was a good shape about us. We conceded one stunning goal, one we thought was offside and one through a goalkeeping error.
"After 35 minutes at 0-0 we thought that they looked dangerous but we were dealing with them comfortably. Given that some people would expect a senior side like Saudi Arabia to carve us up, we showed some good signs in terms of our defensive set up but there's still work to do.''
The sides meet again on Friday night, a day later than originally scheduled. All Whites Cole Peverley and Aaron Clapham bolster the squad under the New Zealand A moniker, although the rescheduling of the match has prevented Auckland City pair Ivan Vicelich and David Mulligan from linking with the squad as well.
New Zealand can qualify for the London Olympics by winning March's Oceania qualifying tournament in Taupo.
Result: New Zealand under-23 0 Saudi Arabia 3 (Salem Aldawsari 36, Ahmed Al-Fraidi 39, Abdulla Al Dossary 62). HT: 0-2.