Essam El Hadary, the oldest player ever to appear at a World Cup, marked his record achievement with one outstanding penalty save for Egypt but was powerless to stop a second Fahad Al-Muwallad's spot-kick, awarded for handball, at the Volgograd Arena.
But Saudi Arabia's Al-Dawsari's last-gasp winner secured their first World Cup victory since a run to the last 16 in 1994.
Mohamed Salah's Egypt still have not recorded a World Cup Finals win in three appearances, despite the Liverpool talisman's superb opening goal.
El Hadary was 45 years and 161 days old when he took to the field as the two already-eliminated teams in Group A played only for pride.
He smashed the age record set by Colombia goalkeeper Faryd Mondragon, who was aged 43 years and three days when he played against Japan in Brazil in 2014.
Salah was named in the starting line-up as expected and thrilled an Egyptian-dominated crowd of 36,823 by opening the scoring in trademark fashion after 22 minutes.
The 26-year-old controlled a long ball over the top with one touch of his left boot at pace and did not break stride before lobbing a deft finish with the same foot over the onrushing goalkeeper Yasser Al Mosailem.
Salah at least had the consolation of scoring Egypt's first goal from open play at the World Cup since May 27, 1934, when Abdulrahman Fawzi netted in a 4-2 defeat by Hungary.
The Egyptians were still clinging onto their lead when the Saudis were awarded a second penalty deep into first half stoppage time as Fahad appeared to pull the shirt of the covering Ali Gabr before going down in a heap.
But after a VAR-induced review that took almost five minutes to complete, Colombian referee Wilmar Roldan decided to stick with his original decision.
It was second time lucky from the spot as Salman Al Faraj took responsibility from 12 yards and El Hadary could not repeat his heroics as the first half clock ticked past 51 minutes.
1930 and 1950 #WorldCup winners #URU looking .
We say a sad farewell to #KSA & #EGY and their wonderful fans. pic.twitter.com/y2pvKNfE9E
— FIFA World Cup (@FIFAWorldCup) June 25, 2018
El Hadary made his debut for Egypt in 1996, a year before his Egyptian teammate Ramadan Sobhi was born.
He is older than three coaches at Russia 2018 - Roberto Martinez of Belgium, Serbia's Mladen Krstajic and Aliou Cisse of Senegal.
The Pharoahs captain lived up to his nickname of "High Dam" with two stunning saves from headers in the second half.
But in the fifth minute of second-half injury-time, Al Dawsari popped up in the box to beat El Hadary with the last kick of the match and secure a famous Saudi win.
Sources: AFP, FIFA via Getty Iamges