The religious police, known as the Commission for the Promotion of Virtue and Prevention of Vice, is notorious for imposing Saudi Arabia's strict version of Islam.
Commission members enforce the segregation of the sexes and have traditionally forced women to cover from head to toe when in public. But they are often accused of abuses.
The woman that appears in the video is seen covered in the traditional Saudi black abaya cloak, with only her bare hands showing.
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As she tries to enter a shop in Barzan Mall, in the northwestern city of Hail, the woman is stopped by a bearded man who shouts at her, demanding she cover her hands.
"Walk away... don't say a word... Put on some gloves," the bearded man says, refusing to let her inside the shop.
Alriyadh daily said the commission in Hail was investigating the incident.
Saudi women are required to cover themselves from head to toe when outside the home, and still need permission from a male guardian to work and marry.
Saudi Arabia is also the world's only country which does not allow women to drive, and those who challenge the ban risk arrest.