Al Kholood took an early lead through Ramiro Enrique, the Argentine striker firing in from close range in the fourth minute after rounding goalkeeper Yassine Bounou.
Al Hilal drew level just before the interval when Nasser Al-Dawsari struck in the 42nd minute, before Hernandez arrived at the far post moments later to complete the turnaround.
Inzaghi’s side now return their focus to the Saudi Pro League, where they sit five points behind leaders Al Nassr ahead of a meeting between the sides on Tuesday, with Al Hilal holding a game in hand.