The F-16 jet crashed in the kingdom's southwestern region of Jazan (Jizan) near the border with Yemen, according AFP quoted in a statement on the Saudi state SPA news agency.
The pilot "survived" the crash, it said, without specifying his condition.
The incident comes a day after Bahrain said that three of its forces had died "in an incident on the southern borders of Saudi Arabia." It did not say how they had died or when the incident took place.
So-far eight Bahraini forces have been killed by Yemen army and allied Houthi Ansarallah popular forces, which was launched by Saudi Arabia in March to step back fugitive former President Mansour Hadi to power.
The Bahraini jet is the second aggressor F-16 to crash after a Moroccan plane went down during a mission over Yemen in May targetted by Yemen army.
Its pilot was later found dead and his body was returned home.
Saudi Arabia and the United Arab Emirates, which play key roles in war against Yemen, have lost the most troops in the battle field. One Qatari forces has also died. This accounts is released by so-called coalition and many said dozens more aggressor forces killed Yemeni fighters.
Sudan has also deployed troops in Yemen while Kuwaiti media reported this week that the emirate has decided to send ground forces.