The oil-rich kingdom - widely criticised for human rights abuses - has been accused of investing its vast wealth in boxing and other sports to improve its image around the world.
Its capital Riyadh staged the undisputed world title fight between Oleksandr Usyk and Tyson Fury last month.
But Joshua, 34, was on the ropes when BBC presenter Lauren Laverne asked what he thought about sports going to countries like Saudi.
He initially paused, before explaining that he didn’t know anything about it.
Joshua told Radio 4’s Desert Island Discs: “I’m there for boxing, I don’t get involved in the politics. But if I see someone getting treated wrongly, if I see it with my own eyes, I’ll always stand up for people. I live under a rock, so what is happening in Saudi Arabia?”
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