In the video, Fahd al-Juweir, one of five militants killed last month after taking part in a failed attack on a key oil facility, called on Muslims everywhere to join their fight to expel Westerners and install Islamic rule.
It was not clear when the video, which was posted on a website used by militant groups, was recorded.
"To Americans we tell you to leave Muhammad's peninsula [Saudi Arabia], and leave all Muslim lands. Stop aiding Jews in Palestine and stop aiding Christians in Muslim lands or else you will face killing, destruction and bombings," said al-Juweir, who was on a most-wanted list of al-Qaida suspects.
"To the Saudi government, we have come to you to slaughter you and your rule is fleeting ... If you knew what the [mujahideen] have prepared for you, you would be fleeing this Arabian peninsula."
Al-Juweir also called on Saudi security forces to join the group's holy war.
"[Prince] Nayef bin Abdul Aziz [the interior minister] told you to sell your souls to his government and kill for him in defence of Americans ... Stop defending tyrants and join the mujahideen or else you know what awaits you," he said.
"To the Saudi government, we have come to you to slaughter you and your rule is fleeting ... If you knew what the [mujahideen] have prepared for you, you would be fleeing this Arabian Peninsula"
Fahd al-Juweir, slain al Qaida leader in Saudi Arabia
Al-Qaida has vowed more attacks after the attempted assault on the Abqaiq oil processing plant.
Two suicide attackers, both on a list of wanted militants, were killed in the attack which was the first significant strike by al-Qaida militants on oil facilities in the world's top crude exporter.
The Saudi wing of al-Qaida has been waging a violent campaign for more than two years aimed at toppling the pro-US monarchy and expelling Westerners from the birthplace of Islam.
Officials say that about 144 foreigners and Saudis, including security forces, and 120 militants have died in attacks and clashes with police since May 2003, when al-Qaida suicide bombers hit three Western housing compounds in Riyadh.