The blast came with the kingdom on alert for attacks by the Islamic State group of jihadists, who have been blamed for killing policemen and for slaughtering members of the minority Shiite community.
The policemen were in a "stable condition" in hospital, the interior ministry said in a statement carried by the official Saudi Press Agency.
The blast went off when police manning the checkpoint on Al-Hair Road stopped the car for a routine check, said the ministry.
Asked whether the incident was linked to the Islamic State group, General Mansour al-Turki, the interior ministry spokesman, said he was waiting for information from investigators.
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He told AFP the explosion happened on a road leading to Al-Hair prison, a high-security facility where Islamic radicals are among those reportedly held.
Today's explosion took place on the last day of the holy Muslim fasting month of Ramadan, while fireworks exploded around the Saudi capital before the Eid al-Fitr holiday on Friday.
On successive Fridays in May two suicide bombings at mosques of the minority Shiite community in Eastern Province killed 25 people.