Witnesses reported heavy clashes around the offices of the security and intelligence agencies in the coastal town of Zinjibar.
A large number of gunmen arrived on motorbikes and opened fire, killing at least two policemen.
A police source said it is believed al-Qaeda was behind the attacks.
Witnesses reported seeing many bodies lying in the street after the attacks and the number of casualties is expected to rise.
The attackers opened fire with rocket propelled grenades and machine guns, attacking the office of the agency in charge of Yemen's general security and the intelligence agency.
Some of the gunmen escaped after the gunfight, it was reported.
Al-Qaeda in the Arabian Peninsula (AQAP) has established strongholds in the country's largely autonomous tribal regions, analysts say.
The group has been responsible for a number of deadly attacks in Yemen, including a raid on the country's domestic intelligence agency in Aden in June, in which 13 people were killed.
Gunmen in Yemen have attacked two government offices in a co-ordinated assault in the southern province of Abyan.