The attack in the Asir border region happened at 8:40 am (0540 GMT), the coalition said in a statement carried by the official Saudi Press Agency.
A National Guard soldier and another from the Border Guard force were killed, it said.
Two other border guards died in a missile strike on the same area in late May.
At least 37 people, most of them armed forces members but also civilians, have been killed in border skirmishes and shelling since March 26 when a Saudi-led coalition began bombing rebels in Yemen.
After that hours-long battle, the coalition said it shot down with a Patriot missile the Scud fired by rebels in Yemen.
Some troops loyal to Yemen's ousted president Ali Abdullah Saleh have been fighting in Yemen alongside Iran-backed Shiite Huthi rebels.
They are battling against forces of exiled President Abedrabbo Mansour Hadi.
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