The study examines the comparative efficiency of Saudi Islamic banking industry which is growing at phenomenal rate, therefor the industry is important to study. We use deposits, assets and capital as inputs to measure investments, advances and income by applying Data Envelop Analysis (DEA) for this measurement. Significance of study lies in the largest set of data ranging from 2008-20016. The study is limited to the full-fledged Islamic banks only and economic indicators such as GDP, inflation and interest rate are not included in this study since all the banks are operating in the same economic system. Key findings reveal that in terms of technical and pure technical efficiency, Al-Rajhi is the most efficient bank followed by bank Al-Jazira, while, Al-Inma and Al-Bilad are on third and fourth positions respectively. A further analysis in this particular aspect reveals that the technical and scale efficiency of bank Al-Rajhi starts declining after the year 2012. This low performance in both of these respective terms suggests the room for improvement in management as well as administration bank Al-Rajhi. On the other hand, the bank Al-Bilad, relatively a small bank as compared to Al-Rajhi, showed excellent results in term of scale efficiency.