Against Russia they went 2-0 down at half-time before conceding three in the second half, while Uruguay's sole goal against Saudi Arabia came in the first half.
El-Hadary takes the record from former Colombia goalkeeper Faryd Mondragon.
The Saudis got another chance from the spot in stoppage time on a questionable foul call on Ali Gabr, though, and they converted.
For Saudi Arabia, this was always going to be a tough World Cup.
History will be made today at the 2018 FIFA World Cup as Egypt take on Saudi Arabia in their final Group A fixture at the Volgograd Arena - here are the confirmed line-ups of both sides. Then they fell apart with Salah when he returned for the Russian Federation match.
"We've seen that certain concepts work, we've seen alternatives, we've tried to bring in new players as well, and this experience that we have had specifically in the run-up to this World Cup has been very important".
In contrast, Egypt looked promising at times against both Uruguay and Russian Federation and should take the win and the pride from the final game.
The Pharaohs fell to a 1-0 defeat to Uruguay in their Group A opener before losing 3-1 to hosts Russian Federation to get officially eliminated from the competition ahead of their last group game against Saudi Arabia.
Lovely penalty save from Essam El-Hadary!
The big team news that has come out so far is that Hector Cuper has had a heart and will start Egypt goalkeeper Essam El-Hadary.
Egypt, making their first World Cup appearance since 1990, had been tipped to advance into the knockout rounds after looking strong in the qualifiers.