The cut was made to "reflect the impact of the continued large fall in oil prices," the ratings agency said in a statement late Friday.
Moody's review covers OPEC kingpin Saudi Arabia, whose rating Standard and Poor's cut two notches to A- last month, the United Arab Emirates, Kuwait and Qatar.
Moody's has forecast oil prices to average $33 a barrel in 2016, $38 a barrel next year and $48 a barrel by 2019.
Bahrain's rating was lowered one notch to Ba1, a grade that has some speculative elements and significant credit risk. Oman's rating was lowered two notches to A1 -- still an upper-medium grade with low credit risk.
Although a relatively small exporter, oil and gas accounted for 75 percent of Bahrain's exports and 86 percent of public revenues between 2010 and 2014, Moody's said.
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As for Oman, oil and gas income made up 90 percent of government revenues. The Gulf sultanate has a comparatively weaker asset cushion, with government financial assets amounting to only about three years of spending, the agency said.
Moody's said the structural shock set off in the oil market is weakening Gulf states' balance sheets, their economies and therefore their credit profile.
For Saudi Arabia, it said oil accounts for 84 percent of exports, 40 percent of Gross Domestic Product (GDP) and 62 percent of consolidated government revenues. Before the fall in oil price, the crude income contribution was around 90 percent.
Between 2013 and 2015, revenue as a percentage of GDP declined by 23 percent and the fiscal balance moved from a surplus of 6.5 percent of GDP in 2013 to a deficit of 15 percent last year.
During the same period the kingdom's current account balance relative to GDP slid from a surplus of 18.2 percent to a deficit of 5.7 percent, Moody's said.
All Gulf Cooperation Council (GCC) states have undertaken austerity measures including cutting energy subsidies to counter the drop in oil revenues.
Moody's said last month that fuel subsidy reforms will help reduce pressure on budgets but are not enough to offset deficits resulting from low oil prices.