A Yemeni man and three Saudis were arrested in mid-September for financing the purchase of weapons and explosives in eastern Marib region, a security source based in the region told Reuters on Tuesday.
The region was the site of shootouts with Islamist armed groups and kidnappings of Westerners.
A computer seized from the men contained detailed plans of attacks against Western and Yemeni individuals and institutions in Yemen, the source said without giving details.
Up to 18 other Yemeni suspects have subsequently been arrested after police interrogated the four, the source added.
Yemeni officials were not immediately available to comment.
Yemen is battling Islamist armed groups, including suspected members of Usama bin Ladin's al-Qaida network, blamed for the bombings of a US warship and a French supertanker in Yemeni waters in 2000 and 2002.
Last week, the US embassy in Sanaa advised Americans in the Arab country to take exceptional precautions because of an unspecified threat. The warning came after Yemeni officials told Western diplomats of the possibility of attacks.
Yemen has arrested scores of fighters, including al-Qaida suspects, as part of its efforts to shed its image as a haven for extremists. It has closely cooperated with the US in its so-called anti-terror war.