An interior ministry spokesman said the "terrorist" attack took place during noon prayers in the city of Abha, in the southern province of Asir.
Twelve of those killed were members of a Special Weapons and Tactics (SWAT) unit, while the other three were workers at the compound, officials said. Seven people were also wounded.
There was no immediate claim of responsibility.
The bombing was the deadliest in a series in recent weeks against Saudi security forces, who have been targeted in attacks blamed on the Islamic State group.
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El-Ikhbariya state television later said that two policemen wounded in the "heinous" attack had died, bringing the death toll to 15.
The interior ministry spokesman said the attack was likely carried out by a suicide bomber, saying that "body parts found at the scene" indicated the use of explosive vests.
The governor of Asir province, Prince Faisal bin Khaled bin Abdel Aziz, visited the site of the attack and the wounded in hospital, condemning the bombing.
An interior ministry spokesman told AFP it was too early to say who may have carried out the attack.
On July 16 a car bomb exploded at a security checkpoint near a prison in the capital Riyadh. It killed the driver and wounded two policemen.
Officials identified the driver as a 19-year-old Saudi man and said he had killed his uncle, a colonel, before blowing himself up on a road near Al-Hair prison, a high security facility.
IS claimed responsibility for that attack, saying it was a message to jihadists held at Al-Hair that they had not been forgotten.
The interior minister said the suspects had plotted attacks on an unidentified diplomatic mission and mosques, including one used by security forces in Riyadh.