Two suspected al-Qaeda fighters, who had been surrounded inside a government building in southern Saudi Arabia, have blown themselves up, a Saudi-owned TV channel reported.
The skirmish and the suicide blast happened early on Saturday, as the military carried out operations following an attack on a border post with Yemen, according to Al-Arabiya TV.
The satellite channel gave no further details on casualties from the blast.
Saudi security forces had been searching for al-Qaeda armed fighters who had fled after an attack on Friday in which six people, including the suicide bomber and two security personnel, were killed.
Yemen's state news agency, Saba, also reported that a suicide bomber had driven a car laden with explosives into the Yemeni side of the Wadia border crossing, killing himself and one soldier and wounding another.
After the attack, Yemeni security forces chased the fighters who fled from the scene in two cars into the desert, Saba said, citing a military source.
Saudi Arabia, the world's biggest oil exporter, has long viewed its 1,800-km border with the impoverished, conflict-ridden Yemen as a major security challenge. It has been building a fence to deter armed groups and criminals from entering the country.
Observers said the attacks highlighted the threat posed by armed rebels to the security of both Saudi and Yemen.
Earlier, in comments suggesting it was the same group of fighters involved in the attacks on both sides of the border, a Yemeni official told the Reuters news agency the gunmen had escaped into Saudi after attacking the Yemeni border post.
The official said the attackers were al-Qaeda fighters.
The Wadia crossing is in the southeastern Yemeni province of Hadramout, which stretches from the port of Mukalla in the south to the Saudi border, through arid valleys and empty desert, landscape that al-Qaeda use to their advantage across the Middle East.
Saudi Arabia has been building the security fence along its border with Yemen since 2003, though work has often been interrupted by protesting tribesmen who say it prevents them from accessing pastures for their livestock.
The kingdom, a key regional ally of the United States, overcame its own al-Qaeda uprising almost a decade ago but it has watched with alarm the recent military advances by Sunni fighters in neighbouring Iraq.
In May, Riyadh said it had detained 62 suspected al-Qaeda fighters with links to rebels in Syria and Yemen who were suspected of plotting attacks on government and foreign targets in the kingdom.