Pictures posted on Arabiya's website showed police cars with flashing lights crowding the crime scene, a residential street.
"Two security men were martyred ... three unidentified gunmen opened fire on the two security men as they returned from work in Dammam," the channel said, adding that the officers were driving a private car.
Two other policemen were shot dead in the city in September.
Eastern Province is home to many Shi'ite Muslims, who form a minority in the conservative Sunni Muslim kingdom.
There have been shootings of security forces in the Eastern Province in the past by Shi'ite militants angry at what they say is repression of their community.
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