The attack targeted an army checkpoint in the Al-Qatn area of the semi-desert Hadramawt province, the source said.
The source said that the gunmen, suspected Al-Qaeda militants, had fled.
Yemeni troops launched an offensive in late April to dislodge Al-Qaeda militants from their strongholds in the south of the country.
One hundred soldiers and 500 militants were killed in the operation, a military spokesman said on Thursday.
Al-Qaeda in the Arabian Peninsula is considered by Washington the global jihadist network's deadliest franchise.
Taking advantage of a collapse of central authority during a 2011 uprising that forced veteran strongman Ali Abdullah Saleh from power, Al-Qaeda seized swathes of the south and east.
They remain deeply entrenched in Hadramawt province further east, where they have carried out a series of spectacular attacks in past months.
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