Five security officers were also slightly wounded in the raid that took place in a northern neighbourhood of Jedda, Brigadier Mansur al-Turki said on Sunday.
"One man, who has not yet been confirmed as a wanted militant, was killed, while a man wanted for security-related matters was captured in the security operation" on Sunday morning, al-Turki said, adding that a a civilian woman was also killed in the shootout.
The incident came less than a week after the US embassy in Saudi Arabia issued a warning of a heightened threat in Jedda, where fighters had attacked a US mission three months ago.
Saudi Arabia has been battling dissident fighters for nearly two years. Despite recent successes by security forces, diplomats say they believe insurgents are planning further attacks in the world's biggest oil exporter.
Riyadh has vowed to uproot those it says are al-Qaida fighters who aim to topple Saudi Arabia's pro-Western monarchy, and expel Westerners from the birthplace of Islam.
At least 170 people have been killed in the wave of violence since May 2003.