Lieutenant Colonel Mutei Baqatyan, a member of the state security apparatus in the city of Mukalla, was targeted by two gunmen on a motorbike, the security official told AFP, speaking on condition of anonymity.
"He died instantly," the official added.
Deadly attacks on members of the security forces are common in Yemen, which is going through a difficult political transition after year-long protests forced veteran president Ali Abdullah Saleh to agree to quit in November 2011.
In other unrest, gunmen believed to be Islamist extremists shot dead a man in the southern port of Aden on Friday, said a security official in the city.
Mushtaq Abdullah, 20, was shot dead near his house in the Dar al-Saad neighbourhood, the official said, adding that the assailants left behind a letter saying that the killing was a punishment for "those who curse God."
Al-Qaeda militants are active in south and east Yemen, where they took advantage of the weakness of the central government during the year of protests against Saleh that ended in his formal handover of power in February this year.