Long on the front line of the war against Al-Qaeda, Yemen has descended into chaos since Shiite militiamen, known as Huthis, seized Sanaa in September and ousted the government last week.
Riyadh, Berlin and Rome said they had temporarily closed their missions in the capital Sanaa.
"Due to the deteriorating security and political situation in the Yemeni capital, Saudi Arabia has suspended all embassy operations in Sanaa and evacuated all its staff," said the Saudi foreign ministry.
The Netherlands followed suit the next day.
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The Huthis said Western powers had no reason to shut their embassies, insisting security was solid in the capital.
"The situation is anything but stable," said a German foreign ministry spokeswoman, calling the ouster of the government by the Shiite militiamen "unacceptable, dangerous and with consequences for the region".
"We decided yesterday to temporarily close the embassy in Sanaa and the personnel departed the country early this morning," she said.
The latest embassy closures came a day after remarks by UN Secretary General Ban Ki-moon, who warned Yemen was falling apart.
"Let me be clear: Yemen is collapsing before our eyes. We cannot stand by and watch," Ban told the UN Security Council in New York.
The instability has been seized upon by Al-Qaeda in the Arabian Peninsula (AQAP), which is expanding its foothold across the country.
AQAP fighters overran an army camp in southern Shabwa province on Thursday, that left 12 troops and 15 militants dead, military officials said revising an earlier toll of seven killed.
They later handed back control of the camp following tribal mediation but kept the weapons, local government officials said.