The minority Shiite community was left shocked and fearful after the unprecedented attack that highlighted sectarian tensions in the Sunni-dominated kingdom.
A witness, who said he saw two of the bodies, said one was a nine-year-old boy.
The policemen were killed when they came under "heavy gunfire" in Qassim region, north of the capital Riyadh, following the attack, said the interior ministry.
Two suspects were also killed, the ministry said.
Officers rounded up 15 suspects in several cities after the initial shooting late yesterday in Eastern Province.
Nine other worshippers were wounded in the attack.
Three assailants fired machineguns and pistols at the crowd in the village of Al-Dalwa, police told the official SPA news agency.
Footage posted online showed corpses lying in pools of blood after the attack in the oil-rich eastern region, where most of Saudi Arabia's two million Shiites live.
Bloodstains were seen on the carpet of the hall where the commemorations were being held.
Members of Saudi Arabia's Shiite minority clash sporadically with police in their region. But yesterday's shooting was the first direct assault against them by unknown gunmen.
A witness, who reported hearing sustained gunfire during the attack, said the Shiite community feels helpless and fearful.
"All (the) people are really worried," he said, asking to remain anonymous.
"We know they hate us," he said, referring to extremists.
Radical Sunni groups consider Shiites heretics and have targeted them elsewhere in the region, including attacks that killed more than 40 people in Baghdad in the 48 hours preceding the peak of Ashura today.
The Ashura commemorations mark the killing of Imam Hussein, the grandson of the Prophet Mohammed, by the army of the Caliph Yazid in 680 AD -- an event that lies at the heart of Islam's sectarian divide into Shiite and Sunni sects.
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