Information plays a significant role in the success of investment strategies. Within a non-advisory context, individual investors elect to build and manage their investment portfolios to avoid the cost of hiring professional advisors. To cope with markets’ uncertainty, individual investors should acquire, understand, and use only relevant information, but that task can be affected by many factors, such as domain knowledge, cognitive and emotional biases, information overload, sources’ credibility, communication channels’ accuracy, and economic costs. Despite an increased interest in examining the financial performance of individual investors in Saudi Arabia, there has been no empirical research of the information behavior of individual investors, or the behavioral biases affecting the investment decision making process in the Saudi stock market (SSM). The purpose of this study was to examine this information behavior within a non-advisory contextualization of their investment decision-making process through the use of an online questionnaire instrument using close-ended questions. The significant intervening variables identified in this study influence the individual investors’ information behavior across many stages of the decision making process. While controlling for gender, education, and income, the optimal information behavior of individual investors in the SSM showed that the Experience factor had the greatest negative effect on the Information Seeking Behavior of individual investors. This was followed by Risk Tolerance, Financial Self-Efficacy, Emotional Biases, Education Level, Formal Information Access, Regret Aversion Bias, and Subjective Financial Knowledge. The Information Acquisition and Information Searching Behavior was influenced by the Acquisition Skepticism, Regret Aversion Bias, Formal Information Access, Overconfidence, and Information Seeking Behavior. Furthermore, the findings indicate that Formal Information Sources have a statistically significant positive effect on the Information Seeking Behavior, and on the Information Acquisition and Information Searching of individual investors in Saudi Arabia. Finally, the Socioeconomic Status (SES) of individual investors in Saudi Arabia was significantly influenced by the employment status, work experience, age, marital status, and income.