Saudi Arabia is located in the Middle East which is the area of southwest Asia. Saudi Arabia occupies most of the Arabian Peninsula. It is in extreme southwest Asia, on the Arabian Peninsula along with Iraq, Jordan, Yemen, Oman, the United Arab Emirates, Qatar and Kuwait.
Saudi Arabia occupies about 80% of the Arabian Peninsula, making it the largest country on the peninsula. The second largest country on the Peninsula is Yemen. On the Arabian Gulf is the UAE, Oman, Qatar and Bahrain- all relatively small and independent countries.
Saudi Arabia is a country in the middle east located on the Arabian peninsula. So Saudi Arabia is the country and Arabia is just the peninsula. Sort of like how America is located on the continent of North America (and no, Arabia is NOT a continent)
The Kingdom of Saudi Arabia is the largest nation of the peninsula bearing its name. The land area of Saudi Arabia is 2,149,690 square kilometers, while the total area of the Arabian Peninsula is 2,600,000.