AC Milan touched down in Jeddah early on Sunday ahead of Wednesday's Supercoppa Italiana final against Serie A champions Juventus.
Gennaro Gattuso's side arrived in Saudi Arabia having secured a 2-0 extra-time victory – thanks to a double from substitute Patrick Cutrone – over Sampdoria on Saturday to book a place in the quarter-finals of the Coppa Italia.
Milan lost last season's final to Juventus, who completed a league-and-cup double.
Wednesday's match takes place at King Abdullah Sports City with a 9.30pm UAE kick off.
Among the travelling party was Argentina striker Gonzalo Higuain, who is a transfer target of Premier League club Chelsea.
Higuain joined Milan on a season-long loan from Juventus in July after the perennial Serie A champions signed Cristiano Ronaldo for €100 million (Dh421.2m) from Real Madrid.
The Rossoneri have an option to make the deal permanent, but Higuain has struggled to settle at the San Siro, scoring eight goals in all competitions.