Dutch former Liverpool and Newcastle midfielder Georginio Wijnaldum gave Al-Ettifaq the lead in the 18th minute before Craig Goodwin equalized for Al-Wehda in the 37th minute to ensure the teams went into halftime locked at 1-1.
Six minutes after the restart, Goodwin got his second to give Al-Wehda a 2-1 lead. With nine minutes left, Wijnaldum got Al-Ettifaq’s equalizer.
The game seemed to be heading for a draw before, in the eighth minute of added time, Gray cut inside on his right foot and unleashed a fierce strike from just outside the box into the bottom left corner of the goal to give Al-Ettifaq the 3-2 win.
Al-Ettifaq are now seventh in the league standings with 20 points from 11 games.
The Portugal captain, who joined Rudi Garcia's side on a free transfer after his acrimonious Manchester United departure, netted all four goals as his new club moved top of the Saudi Pro League on goal difference.
Fresh from opening his account for Al Nassr in their 2-2 draw with Al Fateh last time out, Ronaldo's milestone strike came in the 21st minute when he drilled a low shot past Abdulquddus Atiah.
He added a second to double the visitors' lead five minutes before half-time, latching onto a neat throughball before slotting home.
The former Real Madrid and Juventus forward completed his hat-trick from the penalty spot in the 53rd minute, before getting his fourth and rounding off a commanding victory just after the hour mark.
Ronaldo and Al Nassr are back in action a week on Friday, when they welcome to Al Taawoun to King Saud University Stadium.
