Forecasting models are essential instruments for a nation's economic growth and policymaking. This study's primary objective is to predict Saudi Arabia's CO2 emissions. Holt-Winters Exponential Smoothing (H-W), Autoregressive Integrated Moving Average (ARIMA), and Artificial Neural Network (ANN) models are used in this study to forecast Saudi Arabia's CO2 emissions. This study forecasts time series data on the Kingdom of Saudi Arabia's CO2 emissions from 1960 to 2014 using ANN, H-W, and ARIMA models utilizing statistical software. Furthermore, this study uses a variety of accuracy metrics to demonstrate the forecast model's performance.  The Kingdom of Saudi Arabia's CO2 emissions can be predicted using the ARIMA (2,1,2) model. This study will assist the researcher in better understanding CO2 emission forecasts. In addition, government entities can use the findings of this study to establish strategic plans.