Another suspect was wounded along with the driver in the shooting at Harad, a town 15 kilometres from the Saudi border, the officials said, adding two of those killed were Saudis.
"As one of the soldiers climbed on board the bus for an inspection, one of the suspects opened fire and wounded him, prompting shooting from other soldiers at the checkpoint," said a government official who gave the casualty toll.
All the six had been dressed in black robes and wore the niqab, a face-covering veil commonly worn by women in Yemen, the official in Harad told AFP.
A suicide belt and arms were also found on board the bus, and the wounded suspect and driver were being questioned, said the security official.
"The men are suspected of affiliation with Al-Qaeda and were heading north towards Yemen's border with Saudi Arabia," he told AFP.
Security forces in Yemen rarely carry out inspections of vehicles carrying women in the conservative, deeply-tribal Muslim country.
In July, six Al-Qaeda militants attacked a Saudi border post with Yemen killing a total of five security officers on both sides.
The kingdom's interior ministry had said the six of them were Saudi nationals, and two of them blew themselves up.
Al-Qaeda in the Arabian Peninsula took advantage of a collapse of central authority in the wake of the 2011 uprising to seize swathes of southern and eastern Yemen.
The United States considers AQAP to be the global terrorists network's most dangerous affiliate.
Saudi Arabia, which launched a huge crackdown on Al-Qaeda following a spate of deadly attacks in 2003-2006, is building a three-metre high fence along its southern frontier with Yemen to counter illegal crossings and arms smuggling.