A senior Saudi official said the mosque in Abha, close to the Yemeni border, was used by the security forces.
The Islamic State (IS) group says it carried out the attack. The group has already claimed two deadly attacks on Shia mosques in May.
Observers say it is the single most deadly attack on Saudi security forces for many years.
Saudi officials said the bomb went off while members of the security forces were in the middle of noon prayers.
One interior ministry official told the BBC that most of those killed were members of a Special Weapons and Tactics (Swat) unit.
He said at least three mosque employees were also killed, and scores of other people were wounded.
The death toll was initially put at 13, but the interior ministry later said two of the wounded had died.
Preliminary investigations indicated the suicide bomber detonated an explosives belt while inside the mosque, interior ministry officials said.
The attack was claimed in online statements by an IS-affiliated group, al-Hijaz Province.
Another group affiliated to IS, Najd Province, said it was behind two suicide attacks in May - the first killed at least 21 people in an attack on a Shia mosque in Qatif governorate and the second, a week later, at a Shia mosque in Dammam, which left four dead.
IS last year urged its Sunni followers in Saudi Arabia to sow sectarian hatred by targeting the minority Shia population.
Last month Saudi authorities arrested 431 suspected members of IS, accusing them of plotting suicide attacks on security forces and mosques in various parts of the country.
Thursday's attack took place close to the border with Yemen, where Saudi Arabia has been waging an intense air and ground war to push back Shia Houthi rebels and restore its ally, President Mansour Abdrabbuh Hadi, to power.
A suicide bomb attack on a mosque in Saudi Arabia has left 15 people dead, the interior ministry says.