Several shells from Yemeni territory landed in the Jazan region on Thursday evening, the Saudi Press Agency said, citing the civil defence agency.
"This led to the death of three people, including a child, and (the) injury of nine others who were taken to hospital," the agency's spokesman Major Yahya Abdullah al-Qahtani said.
Iran-backed Huthi rebels in Yemen have intensified cross-border rocket attacks since late last year.
They have also fired ballistic missiles.
Around 90 civilians and soldiers have died from shelling and skirmishes in Saudi border regions since March when a Saudi-led military coalition began air and ground action in Yemen.
In Yemen, more than 5,800 people have been killed since March, about half of them civilians, according to the United Nations.
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