Briefly, Saudi Arabia was a desert with a few cities and a widely scattered population of nomads for most of history. About AD 100 the Nabateans ruled a kingdom there, with a capital at Petra, until the Romans conquered them. Another kingdom rose briefly in the north, at Palmyra, but lasted less than 20 years before the Romans seized it, also. There were a couple more short-lived small kingdoms in the interior, but these had almost no effect on history at large. Of course the history of Islam begins here, but the websites below tell more of this.
The Saud family were well established by the 16th century, and continued to become more dominant as time went on, but the entire pennisula was part of the Ottoman Empire since before the first Crusade. As Europeans established trade routes over water to the rest of the Eastern world, the importance of Arabia as a route to the Middle and Far East receeded, until Arabia was largely a land of nomadic tribes and a Wahhabi Islamic culture. The first link below will take you to a web site with much more information.
Modern Saudi history really begins with the capture of Jerusalem by British forces under General Allenby at the end of the First World War, a campaign largely made possible by the paralysis of Turkish force throughout the Arabian penninsula and the Gulf by the guerilla war led by Feisal al Hussayn and T.E. Lawrence. Known as "Lawrence of Arabia", the British Army officer had developed an outstanding theory and method of warfare with limited means that fit perfectly with the situation of that time and place. Supported by the British, Abdul Aziz ibn Saud established himself as king and named the country Saudi Arabia in 1932, just after the discovery of oil in the region. Standard Oil, British Petroluem and Shell became major players in the development of the country after that. The second link below is the official website of the Saudi Embassy, and gives a more complete overview.