Another soldier was lightly injured in the clash at a checkpoint in the south of the country, near the border with Yemen, said ministry spokesman Brig. Gen. Mansour al-Turki.
The shootout was the first known confrontation between authorities and Al Qaeda since a suicide bomber injured Assistant Interior Minister Prince Mohammed bin Nayef in the western seaport of Jiddah on Aug. 27. The attacker was a member of the Yemen-based Al Qaeda in the Arabian Peninsula.
In Tuesday's attack, security forces at the checkpoint stopped a car carrying three men, two of whom were disguised as women, al-Turki said in a statement.
When a female inspector approached the car to check the identities of those dressed as women, the three opened fire.
He said two of the militants were wearing explosives vests and hiding hand grenades in their clothes.
More grenades as well as machine-guns and materials used in making explosives were found in the car.
One of the assailants was captured.
The statement said no other details will be released now because the investigation is ongoing.
It was not clear whether the militants were part of Al Qaeda's operations in Yemen. Saudi officials have expressed concern that Al Qaeda could use Yemen as a sanctuary to launch cross-border attacks after the network's Saudi and Yemeni branches merged in January.
The Interior Ministry has spearheaded the kingdom's aggressive campaign against Al Qaeda, killing or capturing most of its leaders after a string of attacks that started in 2003.
Al Qaeda launched its campaign of attacks, primarily targeting foreigners and oil infrastructure, in a bid to bring down the Saudi ruling family, which it considers repressive, corrupt and in support of the United States' policies in the Middle East.