The vendor, Mussa Ahmad al-Harissi, "tried to end his life on Wednesday evening by pouring petrol over himself and setting himself alight," the activists said on condition of anonymity.
He was protesting the seizure of the fruit and vegetables he was selling without a licence at the Manfuha market in southern Riyadh, witnesses said.
He was admitted to the King Saud medical complex in the capital, but died a day later.
Harissi's family has refused to collect his body while they wait for an explanation from the authorities, several sources said.
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Harissi's death is reminiscent of that of Mohamed Bou Azizi, the Tunisian vegetable seller who set himself on fire in Sidi Bouzid in Tunisia in December 2010.
His death sparked demonstrations in Tunisia that toppled in January 2011 former president Zine El Abidine Ben Ali, who fled to Saudi Arabia.
Appeals made on Saudi social media websites for mass protests in the oil-rich kingdom at the outset of the Arab Spring made little impact.