The police came under fire when they attempted to arrest the two wanted activists in the flashpoint Awamiya district of the oil-rich Eastern Province, said a ministry statement carried by the official SPA news agency.
The activists, named as Hussein Ali al-Faraj and Ali Ahmed al-Faraj, were both also killed.
Two other police were wounded and required hospital treatment.
Security forces who tried to arrest those suspected of being behind "armed unrest" were shot at and retaliated, a ministry spokesman was quoted as saying.
Awamiya has continued to experience problems despite the end of mass protests that erupted in the eastern region in March 2011 in the wake of the Arab Spring.
In January, the US embassy in Riyadh warned its citizens against travelling to the district after gunmen attacked the car of two German diplomats.
Demonstrations in Eastern Province, where most of the kingdom's two million Shiites live, erupted simultaneously with a protest movement in neighbouring Bahrain in 2011.
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