Ronaldo swapped Europe for Saudi in January 2023 after ripping up his Manchester United contract.
Before that he was in Manchester for his second spell at Man United. The other places he lived were in Italy with Juventus and Spain with Real Madrid.
The 39-year-old moved to Riydah with partner Georgina Rodriguez and his five children.
"In the beginning, everything was not easy," Ronaldo said in the Netflix documentary Saudi Pro League: Kickoff.
"The culture is different. My family is part of me and they always go wherever I go.
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"Sometimes the kids miss Europe. It's normal. Nothing in this life is easy.
"The Saudi people are very friendly. They are people like me who want to give back."
Ronaldo is believed to be paid around £173million-a-year to play for Al Nassr, making him the highest paid sportsperson in the world.
He was asked about whether he moved to Saudi for the money, and in response he said: "I'm here to win. To win trophies, to make Al Nassr better, to make the Saudi Pro League better, change the culture.
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"I want to be successful, I want to leave a legacy. This is what I want. This is why I am here. They help me, I help them. We are a unit.
"I take my piece of cake, Netflix take a piece of cake, Saudi, everyone. We work for a big cake, it is winning-winning."
Georgina Rodriguez has also opened up on their move to Saudi in her Netflix show I Am Georgina and admitted she was delighted to get out of Manchester.
"When Cris told me he was going to play for Al-Nassr, I was so relieved because I really wanted to leave Manchester," Rodriguez said.
She added: "I knew something big was waiting for us and we were highly motivated. I was very happy to come to Saudi Arabia."
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Despite Ronaldo receiving the biggest contract of his career, Rodriguez conceded moving their family to a new country and culture was not easy.
"It all happened so quickly," Rodriguez said.
"At the beginning, I had some ups and downs because we had never lived in a hotel for so long. There were days when I didn't want anyone to see me, but overall, I was very excited."
The hotel Rodriguez referenced was the Four Seasons hotel in Riyadh, where Ronaldo and his family stayed in the plush Kingdom Suite.
Ronaldo's suite was just one of 17 rooms inside the venue occupied by his entourage, which consisted of his friends, other family members and security detail.
The Portuguese superstar and his family have since moved in to a house, but not before he paid a hotel bill estimated to be over £250,000.