Eleven others were wounded, among them nine children, when several missiles hit residential districts in the Jazan region yesterday, civil defence spokesman Major Yehia al-Qahtani said in a statement.
Saudi Arabia is leading a military coalition that has been battling Iran-backed rebels in neighbouring Yemen since March.
The rebels intensified their rocket attacks across the Saudi border in recent days, prompting the coalition to threaten severe reprisals.
The Saudis have deployed Patriot missile batteries designed to counter attacks and have recently been intercepting missiles fired from Yemen on an almost-daily basis.
In Yemen the conflict has left nearly 6,000 people dead since March, according to UN figures.