Residents said up to 2,000 people took part in a march late on Tuesday in the eastern city of al-Qatif while hundreds more marched in the neighbouring town of al-Awamiya.
A Shia website carried photographs of the protesters, which included Saudi women and children, bearing pictures of Hezbollah leader Sayyed Hassan Nasrallah and the group's yellow flag. It said Lebanese expatriates also took part.
The website quoted the protesters as saying: "Not Sunnis, not Shia - it's one Islamic unity. Oh beloved Hezbollah, destroy Tel Aviv!"
Public protests are banned in Saudi Arabia, which sees itself as the bastion of Sunni Islam, and the Saudi media have not reported the Shia demonstrations.
One resident said the marchers dispersed peacefully. The man said: "There was a light security deployment monitoring the marches."
Shia say a heavy police deployment prevented them from staging similar protests over a week ago, but dozens of Saudi Shia managed to hold protests on Sunday in the same areas.
Officials from the Saudi interior ministry declined to comment.