Saudi Arabia has witnessed recent reforms and positive socio-political changes that have led to increased opportunities for women to participate in fitness centers. This study investigated protein supplement consumption among Saudi females compared with that among males and examined the knowledge and attitudes of the participants toward protein supplement use. A cross-sectional study was conducted in Riyadh using a previously validated, self-administered online survey. The questionnaire included items related to the prevalence, knowledge, attitudes, and practice of protein supplementation. The participants were 354 adults (58.2% were females). The results showed that over 47% of the participants attended fitness centers with more male (80.3%) than female (41%) attendees. Nearly 50% of the participants consumed protein supplements, with males (68.7%) using significantly (p < 0.001) more protein supplements than females (35.6%). The powdered form was most commonly consumed. The percentage of gym attendees (67.8%) who used protein supplements was higher than that among non-gym attendees (32.2%). Gaining muscles (56.1%) followed by compensating for protein deficiency (28.6%) were the reasons for taking protein supplements, with a significant gender difference (p < 0.001). Coaches provided the most information on protein supplements. The participants appeared to be knowledgeable about protein supplements. Although over 68% of protein supplement users suffered from various symptoms, only 20% of the participants thought that there was no risk in taking protein supplements, with significant gender differences. It was concluded that Saudi male participants are twice more likely to attend the gym and consume protein supplements compared with females. Of both genders, those attending the gym consumed more protein supplements than non-gym attendees.