The news channel Al Ekhbariya announced the death of Prince Mansour bin Moqren, the deputy governor of Asir province.
It said the helicopter had several officials on board, and did not reveal the cause of the crash.
The crash comes after Saudi Arabia on Saturday intercepted and destroyed a ballistic missile near Riyadh's international airport after it was fired from Yemen, in an escalation of the kingdom's war against Iran-backed Houthi rebels.
12 soldiers dead as Saudi helicopter goes down in Yemen
Shiite rebels aimed the missile attack at the heart of the Saudi capital, underscoring the growing threat posed by the raging conflict in Yemen.
The attack highlighted how the war in Yemen is increasingly spilling across the border since a Saudi-led coalition began its military intervention there in 2015.
Saudi Arabia led the intervention to prop up the government of President Abedrabbo Mansour Hadi after the Houthis forced him into exile.
Hoping for a quick victory against what it saw as Iranian expansionism in its back yard, Riyadh has so far been unable to remove the Houthis from Yemeni capital Sanaa. AFP
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