He was again loaned by Nantes, this time moving to Spain and Deportivo de La Coruña on 30 January 2008. He played his first La Liga match against Getafe CF, coming on as a substitute in a 1–1 home draw, and made his first start two rounds later, in a home fixture match against RCD Espanyol (2–0 home win).
Wilhelmsson scored his first goal for Depor on 1 March 2008, in a 2–1 home win against Sevilla FC, and finished the campaign firmly established in the side's starting XI – he would start in 13 of his league appearances – as the Galicians eventually finished ninth and qualified to the UEFA Intertoto Cup.
In 2008, Wilhelmsson signed a three-year contract with Saudi club Al-Hilal FC for about €9 million. He helped the club win the league title in his second year, scoring nine goals and making ten assists in 20 appearances; for his contributions he received the Player of the Season award, going on to win four additional major titles during his tenure, including two consecutive Saudi Crown Prince Cup where he scored in both finals.