Lieutenant Colonel Ali al-Shahrani, spokesman for the civil defence forces in the southwestern city of Najran said the shelling took place Saturday evening.
A Saudi-led coalition has been targeting Shiite rebels in Yemen, known as Houthis, since March 26. Cross-border shelling has killed Saudi border guards and soldiers amid the campaign.
International aid groups say Yemen’s war has killed up to 2,000 people and wounded 8,000. The UN estimates at least 1,037 civilians have been killed.