The highway patrol came under fire as it chased a car that was speeding on the Riyadh-Qassim road, 210km north of the capital, Interior Ministry spokesman General Mansour al-Turki said on Wednesday.
"The windshield was smashed and the two policemen who were in the car were injured," he said.
The armed men escaped and security forces are combing the area in search of them, he added.
In April, security forces killed 15 anti-government fighters in the Qassim area, including the country's al-Qaida chief and the alleged mastermind of the March 2004 Madrid train bombings, in the bloodiest battle of their two year campaign against Islamist insurgents.
According to official figures, 90 civilians, 41 security personnel and 110 insurgents have been killed since the violence began in May 2003.
The Saudi government says it is fighting insurgents who are intent on destabilising a largely peaceful nation.
But their opponents say the House of Saud is beholden to the West and unfit to rule.