The shooting occurred at 2pm (12pm in Denmark) when the Danish man was driving away from his work at a company in Riyadh's Kharj Road area, police said in a statement carried by the official Saudi Press Agency.
"He was shot in the shoulder" by someone who has not been identified, the report said.
"Investigations are ongoing," and the victim is in stable condition at hospital, it said.
In October, a Saudi-American former employee of a US defence contractor shot dead one American colleague and wounded another in Riyadh. The suspect had recently been fired from his job, officials said.
That was the first deadly attack on Westerners in Saudi Arabia since several were killed in a wave of Al-Qaeda violence between 2003 and 2006.
Since September, Saudi Arabia, the United Arab Emirates, Jordan and Bahrain have participated in a US-led campaign of air strikes against the Isis extremist group in Syria, raising concerns about possible retaliation in the kingdom.
Denmark is among the countries -- with Australia, Belgium, Britain, Canada, France and the Netherlands -- participating in a similar campaign against Isis in Iraq.
In a notice to American citizens, the United States embassy said it had "received a report of a shooting of a Danish citizen in Riyadh today".
It said the incident happened near Ikea, a Swedish furniture company, and American embassy personnel had been instructed to avoid the area until further notice.