The advisory, issued at 4.30 pm on October 18, comes amid heightened security concerns in Saudi Arabia.
"In case of an aerial attack, immediately proceed to the nearest safe place (inside a building or an interior room away from windows)," the embassy advised.
It also urged Indian nationals to refrain from filming, publishing or sharing information, photographs or videos related to ongoing events.
Yemen's Iran-backed Houthi rebels have intensified missile and drone attacks on Saudi Arabia, targeting airports and oil facilities.
On October 10, a Houthi missile struck King Khalid International Airport in Riyadh, killing 12 people and injuring more than 300 in one of the deadliest attacks on the kingdom in over a decade.
The Houthis also targeted the airport on October 11, when another projectile struck the facility, killing a Pakistani national and injuring 11 others.
Indian nationals receiving treatment in hospitals
The embassy confirmed that Indian nationals injured amid the prevailing situation were receiving medical treatment in Saudi hospitals.
Embassy officials have been visiting the hospitals, staying in contact with the injured nationals' families and providing necessary assistance.
The advisory did not specify the number of injured Indians or provide details of the incidents in which they were hurt.
Riyadh airport closed, flight suspensions extended
According to the embassy, Riyadh's international airport remains closed to flight operations.
Airports in Dammam, Jeddah and Medina are operational, although disruptions continue.
Indian airlines have extended their flight suspensions as follows:
Air India, Air India Express and IndiGo: All Saudi Arabia routes suspended until October 24.
Akasa Air: All Saudi Arabia routes suspended until October 27.
The embassy also outlined alternative flight options for passengers seeking to return to India.
Saudia is operating scheduled flights to India from Dammam, Jeddah and Medina.
Flynas has listed Dammam-Delhi and Dammam-Mumbai services between October 17 and 24, while its scheduled Dammam-Lucknow flights continue.
Flyadeal listed Dammam-Mumbai services for October 17 and 18.
Passengers should check directly with airlines for the latest schedules and seat availability.
The embassy said Indian nationals requiring urgent departure could consider travelling through Bahrain, Kuwait or Qatar, provided they obtain the necessary visas.
However, travellers were advised to consider ongoing disruptions and possible flight cancellations before making arrangements.
Warning for Umrah pilgrims
The embassy also issued a specific warning to Indians planning to visit Saudi Arabia, including those travelling for Umrah.
It urged travellers to account for airport disruptions and possible flight cancellations that could leave them stranded or force them to extend their stay.
Indian nationals requiring assistance can contact the 24x7 control rooms operated by the Indian Embassy and Consulate.
The latest advisory comes as security concerns and air travel disruptions continue to affect Indian nationals living in or travelling to Saudi Arabia.