Korea’s Samsung Engineering has filed a claim against the Saudi government with the World Bank’s International Center for Settlement of Investment Disputes (ICSID), after state-owned power and desalination plant operator SWCC canceled a contract for building a big power plant on the kingdom’s Red Sea coast.

The dispute concerns the 3.1GW oil-fired Yanbu 3 power plant, for which Samsung and partners China’s Shanghai Electric and Saudi firm Al Toukhi were awarded a...