The shelling at 2:00am local time (1100 GMT) in the southern Jazan region killed a woman and wounded a man and his son, according to the agency's spokesman Major Yehia al-Qahtani.
On Wednesday, a Saudi border guard was killed after shelling from Yemen hit a frontier post in Jazan.
And a week ago, similar attacks killed three children in Saudi Arabia and wounded nine other people.
Cross-border fire from Yemen has killed about 100 civilians and members of the security forces on the Saudi side since the war began.
In Yemen itself, more than 6,600 people, mostly civilians, have been killed since March 2015, according to the UN.