The state-run Saudi Press Agency quoted military coalition spokesman Col. Turki al-Malki as announcing the deaths Saturday in Jizan province.
Al-Malki accused Yemen's Shiite rebels known as Houthis of firing a projectile that was "launched deliberately to target civilians."
The Houthis, an Iran-allied group that controls much of Yemen including the capital Sanaa, have fired a series of missiles into the kingdom in recent months, part of a three-year-old conflict in Yemen widely seen as a proxy battle between Saudi Arabia and Iran.
A U.S.-backed, Saudi-led military coalition is fighting against the Houthis on behalf of the government of President Abd Rabbu Mansour al-Hadi, who lives in exile in Riyadh.
The coalition has said it would retaliate against anyone who threatens the safety of its citizens and residents.
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Last month, the group fired a salvo of missiles at the capital Riyadh, saying it was targeting economic targets.