They wore green wristbands, thought to be a symbol of their support for the opposition candidate Mir Hossein Mousavi.
They were told to remove them at half-time as the team went on to draw 1-1 and fail to secure their automatic qualification spot.
In the 1966 World Cup in England, North Korea famously defeated Italy at Middlesbrough's Ayresome Park.
And in the quarter-finals they led Portugal 3-0 at one stage before going down 5-3 as Eusebio inspired a remarkable comeback at Goodison Park.
In Wednesday evening's match, North Korea found themselves under a lot of pressure but they held firm at the King Fahd International Stadium.
Iranian footballers' poll protest
The Saudis threatened from the start, but were unable to capitalise on a number of scoring opportunities as Korean goalkeeper Ri Myong Guk produced some fine saves.
Saudi Arabia will get another chance to progress after finishing third in Group B to advance to the Asian play-offs, where they will face Bahrain.
They will play each other over two legs in September, with the winners advancing to a home-and-away play-off against Oceania winners New Zealand in October and November.
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