The London-based Arabic-language daily newspaper Asharq al-Awsatreported that the assailants targeted state security forces in the town of Zulfi, located about 260 kilometers (160 miles) north of the capital Riyadh, on Sunday.
It said they rammed a vehicle into a security barrier around the station in an attempt to gain entry.
Two gunmen then stepped out of the vehicle and opened fire, sparking a gun battle with police.
A third attacker attempted to flee but was also gunned down, while a fourth died as he tried to set off an explosive belt.
There were no immediate reports about casualties among the security personnel.
Attackers kill Saudi officer, raid military facilityAssailants reportedly kill a Saudi policeman in the western city of Ta’if before storming a near by National Guard facility.
The Saudi-owned al-Arabiya television news network reported that the assailants had been carrying machine guns, bombs and Molotov cocktails.
Militants have targeted security installations in Saudi Arabia for years.
Earlier this month, two men armed with explosives were killed and two others arrested in an attack on a security checkpoint in the oil-rich and Shia-populated Eastern Province.
Gunmen raid checkpoint in Saudi Arabia, report claimsTwo Saudi security forces purportedly sustain injuries following an attack by four assailants on a checkpoint in eastern Saudi Arabia.
Arabiya said the incident had occurred on Abu Haidriyah Highway, which links Bahrain to Saudi Arabia and extends to the Kuwaiti border. The assailants were reportedly attempting to evade the security checkpoint as they tried to flee the country.
Last year, a member of the security forces and a Bangladeshi national were killed in an assault on a security checkpoint in the city of Buraydah.
A policeman was killed in a separate attack in the southwestern city of Taif.