The blast occurred outside a presidential palace in Mukulla, in Hadramawt province, the BBC reported.
In the capital of Sanaa, Abed Rabu Mansour Hadi was sworn in as president in front of Parliament after he won an early presidential election in which he was the only candidate.
Former President Ali Abdullah Saleh returned to the country early Saturday after receiving medical treatment for injuries he suffered during an attack on his presidential palace last June, The New York Times reported.
The election brought violence in southern Yemen, where nine people have died in clashes.
No one had claimed responsibility for Saturday's blast, apparently a suicide bombing. The BBC said elite republican guards were among those killed.
Hadi won the election with 99.6 percent of the vote, with 6,651,166 Yemenis voting for him 15,974 against by writing "No" in the box next to a photo of him on the ballot sheet, said Nadia al-Sakkaf, the editor in chief of the English-language Yemen Times newspaper.
Saleh is to formally hand over power to Hadi in a ceremony on Monday.
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