The British man was arrested four days ago but it is unknown why both men have been detained by police.
"I can confirm that a British national, David Heaton, has been detained in Saudi Arabia and officials from our consulate in Jeddah visited Heaton on Thursday 4 December," said Barrie Peach, a press officer at the British Embassy.
"We are in contact with his next of kin and we are still seeking from the Saudi authorities reasons for his detention,
and the Saudi authorities have confirmed to us that he has still not been charged."
Peach said Heaton, who is a teacher and has a family in Saudi Arabia, was arrested in the Red Sea city of Jeddah.
Meanwhile, the daily Arab News reported that Abdullatif Ibrahim Bilal, a US citizen was arrested but as yet he has not been charged with any offence.
According to the newspaper Bilal is the brother of Muhammed and Ahmed Bilal, who had confessed in September to conspiring to help the Taliban and possessing weapons.
They are due to be sentenced in a court in Portland, US in February. "I just want to know why he was picked up. I know he didn't do anything," said a relative of the arrested man.
Carolin Kalin, press counselor at the US embassy in Riyadh declined to comment on whether or not a US citizen had been
"I am under very serious legal constraints in these kinds of cases ... I am not able to confirm anything about this case
at this time," Kalin told the AFP news agency.
The paper said the Briton and American were detained after finishing a scuba diving course during the Muslim fasting month
Meanwhile a previously unknown group calling itself the "Brigade of the Two Holy Mosques" has threatened to "cleanse" Saudi Arabia of anyone who has helped the United States, according to the Islamist Internet site.
In the message on the site the group also claimed to have shot dead a general in the Saudi security forces on Friday.
In a statement signed the "Brigade of Death for Special Operations," the group threatened to "cleanse Saudi Arabia, the country of the two holy mosques, of anyone who has helped the United States in one way or another against the mujahidin (holy warriors), and those involved in their torture in Saudi prisons in Hayer, al-Roweiss, Allicha and others."
The statement goes on to say that "Since our brothers in the al-Qaida organisation are busy with the war against the
crusaders, we have decided to take care of cleansing the country of crusaders."
Saudi security forces have been on heightened alert since the 12 May and 8 November attacks on residential compounds in
Riyadh which killed a total of 52 people.
They have been hunting suspected armed dissidents for several months, resulting in hundreds of arrests as well as gunbattles between suspects and security forces.