The ministry said in a statement Sunday that the two men, who had disguised themselves as women, were Saudi and on a militant wanted list.
Six Yemenis working with them were also arrested.
Youssef al-Shihri and Raed al-Harbi were on the country's list of 85 most wanted militant suspects living abroad and were part of Al Qaeda's operations in Yemen.
Tuesday's shootout in southern Saudi Arabia also killed a soldier.
Source: FoxNews