Al Jazeera and Al Arabiya are among the most widely watched news channels in the Arab world.
Al Jazeera said Yemeni security forces stormed its office on Thursday evening after being warned over its coverage of a southern secessionist movement, which the government is battling.
Murad Hashim, head of Al Jazeera's Sanaa bureau, said on the channel's Arabic website that a Yemeni official had telephoned him earlier on Thursday, cautioning that measures would be taken if the channel covered a meeting of southern opposition leaders.
Al Arabiya also reported that some of its broadcasting equipment were confiscated by police on Thursday.
Nasser al-Sarami, head of media at Al Arabiya, told the Reuters news agency that the channel's bureau chief had been questioned for two hours before he was released.
"They are concerned about the way we cover what is going on in the south," al-Sarami said.
They didn't give us a reason, but we believe this is the link."
Thousands gathered for demonstrations across Yemen on Thursday to demand an easing of the crackdown in the south.
Two people were shot dead as security forces tried to quash a separatist protest in a southern province.