Eleven others were wounded, among them nine children, when several missiles hit residential districts in the Jazan region on Thursday, civil defence spokesperson 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.
Saudi Arabia says 3 civilians killed by missile fired from Yemen
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.
More than 80 people, most of them soldiers and border guards, have been killed in shelling and cross-border skirmishes in the kingdom's south since coalition operations began in Yemen.
In Yemen the conflict has left nearly 6,000 people dead since March, according to UN figures.
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