The victims were named as Claudine Van Caillie, 65, from Bruges and Katrine Glorie, 54, also from Belgium's Flanders region.
Patrick Coucke, 65, was shot in the stomach and seriously wounded.
A Yemeni was also injured in the attack, the AFP news agency reported.
Karel De Gucht, the Belgian foreign minister, said the two women killed in the attack should have known the risks.
"Someone who leaves for Yemen knows that it is a dangerous destination," De Gucht told a press conference in Brussels.
"When you travel with a group specialising in adventure holidays, you also know that there is a risk."
Belgium's foreign ministry website warns against non-essential travel to Yemen, explaining that "the permanent terrorist threat must be taken very seriously in this country".
Yemeni officials said the attackers were believed to be from a group of al-Qaeda fighters hiding in the valley.
But in Belgium, De Gucht did not confirm any al-Qaeda link with the attack.
"The region is known for its Islamist extremism but we have no indication that al-Qaeda or any other extremist group was involved," he said, adding that the area also had "tribal problems".
"We are asking the [Yemeni] authorities to shed light on the attack, but it's not easy. The authorities do not control the territory," he said.
Attacks on tourists
Tourists often travel through the Wadi Dawan on route to see Shibam, a historic town of mud-brick houses, some as many as nine stories high.
An interior ministry official, quoted anonymously by the Associated Press, said that Yemeni authorities had received email and telephone threats of imminent attacks over the past two days.
The official said al-Qaida militants were pushing for the release of jailed comrades.
In July, a suicide bombing killed seven Spanish tourists and wounded six at a historic site in the Arab country. Two Yemenis were also killed.