Salah had showed great composure to dink his side ahead after just 22 minutes, but he was made to regret missed chances after that as Saudi equalised through a Salman Al-Faraj penalty on the stroke of half-time.
The headlines though will go to Salem Al-Dawsari, who capitalised on some lazy Egyptian defending to sneak in and poach a 94th minute winner.
Record breaking, chance taking
Egypt's exit from the competition at least offered them the chance to set one record, using the dead rubber to start 45-year-old goalkeeper Essam El Hadary, making him the oldest player to start a game in the competition's history.
He started well, snuffing out some early Saudi chances and watched on in delight as Salah opened the scoring.
Trapping a ball over the top with a wonderful first touch, Salah's second was even better as he delightfully lobbed the ball over a stranded goalkeeper.
It should have been two soon after as Salah capitalised on a high Saudi Arabia line to break beyond the defence once again, the forward leaving the crowd stunned as he dinked wide with his effort.
Penalties galore, VAR furore
Despite not managing a goal in their opening games Saudi Arabia had looked fairly confident in possession and most neutrals were tipping them to strike against Egypt, something they got the opportunity to do when Ahmed Fathy handled in the area.
Fahad Al-Muwallad stepped up to take but veteran El Hadary was equal to it, diving to his right to tip the ball onto the post.
However, it proved futile as the trailing side got another penalty before the break, Ali Gabr pulling Al-Muwallad down. He wouldn't take it this time, Salman stepping up and sending El Hadary the wrong way to equalise.
Egypt dip, Salem flips
That was the final act of a busy first half, a complete opposite to a second which certainly looked like two tired teams that had already seen their World Cup dreams dashed.
Still, there was time for a winner right at the end, Abdullah Otayf breaking into the area down the right and sliding in Al-Dawsari, who fired across goal and into the bottom left corner to hand Saudi the win, sparking a superb celebration full of flips and tricks.