Three of the gunmen were also killed in the morning attack, said local administration official Ahmed Mohammed.
Two explosions went off at the gate of the headquarters of South Western State followed by gunmen shooting their way onto the premises, said Capt Hassan Hussein, a police official in Baidoa.
No group has claimed responsibility for the attack but it bares the hallmarks of the Islamic extremist group al-Shabab.
Ten people died last month at the Central Hotel in Somalia's capital when an al-Shabab extremist rammed an explosives-laden vehicle into the hotel gate, and another went in and blew himself up.
Despite major setbacks in 2014, al-Shabab continues to wage a deadly insurgency against Somalia's government and remains a threat in Somalia and the East African region. The group has carried out many attacks in Somalia and in neighboring countries, including Kenya, whose armies are part of the African Union troops bolstering Somalia's weak U.N.- backed government.
Al-Shabab controlled much of Mogadishu during the years 2007 to 2011, but was pushed out of Somalia's capital and other major cities by African Union forces.
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