The agency put Russia's Ba1 government bond and issuer ratings on review, while it placed Saudi Arabia's Aa3 issuer rating on review. Moody's said it expected to complete both reviews within two months.
Brent crude oil prices have plunged more than 40 percent in the last year, and futures traded around $39 per barrel on Friday after a recent rally. Moody's said it expects an average Brent price of $33 per barrel for 2016 and $38 per barrel in 2017.
The "structural shock" to the oil market is "weakening" both countries' economies, balance sheets and, in turn, credit profiles, Moody's contended.
Oil and gas account for 17 percent and 40 percent of Russian and Saudi GDP, respectively, according to the agency.