There are some proof. I know he didnt want anybody to worship him after he died so he didnt have any kind of gravestone or a mark for his grave.
But pieces of Mohammed`s hair is kept in a Museum in Istanbul Turkey. Same museum (former Ottoman Palace) called Topkapi Palace also has Mohammed`s Cardigan, his foot print which looks like a size of 14.
If Turkey has this much of proof, im sure Saudi Arabia has lot more.