"The meeting was to strengthen relations between the two countries," al-Sadr said on Wednesday, declining to give details.
Saudi state television broadcast footage of the meeting which took place late on Tuesday, after which the Saudi monarch appeared showing al-Sadr around the palace.
King Abdullah received al-Sadr again on Wednesday as part of a reception for dignitaries and world leaders.
Al-Sadr later expressed pessimism about the future of his war-torn country following the 15 December legislative polls.
"I am pessimistic (about the future of Iraq). Fanaticism and branding others as apostates dominate now," said al-Sadr, who was in Saudi Arabia to perform the hajj for the first time in his life.
Al-Sadr travelled overland from Iraq and was told by Saudi officials upon arrival that he was a guest of the king, according to the head of the Iraqi hajj delegation, Shaikh Khaled al-Atiyah.
Al-Sadr, who only speaks Arabic, has rarely travelled abroad. His only known trip outside Iraq was to neighbouring Iran to take part in a June 2003 commemoration of the death of Ayatollah Ruhollah Khomeini.
King Abdullah's meeting with al-Sadr was significant because of past tensions between the Sunni kingdom and Shia in the Middle East.
In November 2005, al-Sadr's movement launched an international campaign to collect eight million signatures in favour of reconstructing the shrines of four Shia imams in the holy city of Medina in western Saudi Arabia.
These shrines were destroyed at the start of the 20th century when the late King Abdul Aziz established the kingdom, according to al-Sadr's movement.