They appear to have been killed by a missile fired by Houthi rebels at troops from the Saudi-led coalition seeking to restore Yemen's government.
Rebel and government sources said the attack, in the province of Taiz, left dozens of coalition troops dead.
The incident comes ahead of UN-brokered peace talks in Switzerland on Tuesday.
The government says a seven-day ceasefire will begin at midnight (21:00 GMT) to coincide with the talks.
The Saudi state news agency quoted a coalition statement as saying Saudi Col Abdullah al-Sahyan and Emirati officer Sultan al-Ketbi were killed early on Monday while "carrying out their duties in following up the progress of operations of liberating" Taiz province.
Saudi-owned Al-Arabiya TV said Col Sahyan was the head of Saudi special forces there.
The coalition provided no details about how the two officers died, but local media and Yemeni sources said they were killed in a rocket or missile strike south-west of the contested city of Taiz.
A pro-government military source told the Reuters news agency that the rocket hit at a camp housing Yemeni, Sudanese, Emirati and Saudi troops in the Dhubab area, near the strategically important Bab al-Mandab strait through the Red Sea, and that "tens were killed".
The pro-Houthi Saba news agency cited a rebel statement as saying they had fired a Soviet-era Tochka missile at a "command centre run by the enemy". The attack caused "many losses in lives and military equipment", including Apache helicopters, the statement added.
If confirmed, the attack would be the deadliest on the coalition since 45 Emirati troops were killed when a Tochka missile hit a base in Marib province, east of the capital, Sanaa, in September.
At least 5,700 people, almost half of them civilians, have been killed in air strikes and fighting on the ground since the Saudi-led coalition launched a military campaign in March after the Houthis seized Sanaa and advanced towards the second city of Aden.
The already dire humanitarian situation in Yemen has also deteriorated severely, with more than 21 million people - four-fifths of the population - now requiring aid.
Since March, coalition and pro-government forces have retaken Aden and the city of Marib, but have failed to drive the rebels out of the third city of Taiz.
A Saudi military commander and an Emirati officer are reported to be among a number of Gulf, Yemeni and Sudanese soldiers killed in Yemen.