Interior Ministry spokesman Mansour al-Turki said in a statement on Thursday that the gunmen opened fire on the guards from inside Yemen.
The incident took place on Wednesday morning while the guards were patrolling in Dhahran al-Janoub in southern Saudi province of Aseer, Turki also said.
The two sides then exchanged fire, he further added.
The Interior Ministry identified the guards as sergeant Abdul-Razek al-Ghamdi and soldier Mohammed el-Qahtani.
BA/BA