The Saudi Gazette said assailants shot at Cpl. Khalid Shbikhan al-Enazi's car as he left his home in the Hadda district. His bodyguard lost control of the car, which overturned, the newspaper said. An unnamed Yemeni security official told the Gazette the assailants wore police uniforms.
No one immediately claimed responsibility for the attack.
A statement issued by SPA said Yemeni security officials and the Saudi ambassador to Yemen are investigating.
The Saudi Foreign Ministry is handling arrangements to fly al-Enazi's body home. Prince Saud al-Faisal, minister of Foreign Affairs, conveyed his condolences to the families of the victims, SPA said.
In recent months al-Qaida elements have waged a series of attacks targeting military and security officials in Yemen, the Gazette said.