Red Sea and Persian Gulf. The Arabian Peninsula is flanked by two important bodies of water: the Red Sea on the west side of Saudi Arabia and the Persian Gulf on the east side.Several cities line the Red Sea coast, including Jeddah, which provides direct access to a stunning coral reef.n the southwest of the country, near the Red Sea coast, the Asir Mountains rise to give Saudi Arabia its tallest mountain peak, Jebel Sawda, topping more than 9,500 feet.