"A man detonated his explosive vest among soldiers" at the camp in the southern city of Aden overseen by the Saudi-led coalition fighting Iran-backed rebels, a military source said.
The soldiers were attending training run by Sudanese forces belonging to the Arab coalition, another military source said.
"So far, the bodies of nine soldiers and several wounded were brought to the hospital" in Aden, a medical source said.
The attack took place at the Ras Abbas military camp located in Aden's western Buraiqa district, the first military source said.
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Three of the attackers were killed and four guards protecting the convoy were wounded in a gunfight, according to the governor's aide.
Aden has seen a growing jihadist presence, with Al-Qaeda in the Arabian Peninsula, long active in Yemen, and the Islamic State group apparently vying for influence.
The jihadists have claimed several attacks against government and coalition troops since the loyalists pushed the Shiite Huthi rebels and their allies out of the port city and other southern provinces last July.
The United Nations says more than 6,100 people have been killed and 29,000 wounded in Yemen's conflict since the coalition began its raids, about half of them civilians.