The Saudi interior ministry said six assailants attacked the Wadia border post in the south of the kingdom on Friday.
After an initial clash on Yemen's side of the border that left a Yemeni soldier dead, according to a security official in Sanaa, the infiltrators in a four-wheel-drive attacked a Saudi border patrol vehicle, killing the driver.
They seized the car, sparking a chase in which two Saudi police were killed along with three of the assailants, the interior ministry said.
It said one of them was wounded and arrested, while the two others fled to the nearby Sharura district with the seized vehicle.
They took over an intelligence building where they killed a fourth member of the Saudi security services.
Pinned down and encircled by security forces for several hours, they refused to surrender and blew themselves up early Saturday, a ministry spokesman said in a statement carried by state news agency SPA.
The Yemeni security source said the assailants were armed with machineguns and rocket-propelled grenades.
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