The Briton, who also won Wednesday's second stage where he dropped his rivals impressively on the Bir Jaydah mountain, again went solo on a steep climb up to the desert-high plateau of Harrat Uwayrid.
Pidcock finished 12 seconds ahead of the South African Alan Hatherly with the Austrian Rainer Kepplinger in third.
"On such a steep climb, I just went at my own pace. Attack is the best defence. I'm very happy to be able to extend my lead overall," commented Pidcock who has switched this season from Ineos to Swiss team Q36.5.
He now has a 29-second lead over Kepplinger with Hatherly a further three seconds behind with the final stage promised to the sprinters.
"I had already looked at tomorrow's stage a bit, perhaps I shouldn't have," said double Olympic mountain bike champion Pidcock.
"It promises to be very windy and it will be stressful to keep the (leader's) jersey. I have a little head start but this is not finished."