Corporal Khalaf al-Harithi was on duty in the western region on Thursday evening when he was hit by gunfire from an unknown source, a ministry statement said.
An investigation is under way.
It occurred several hours after officers shot dead two ‘terrorists’ in an exchange of fire at their hideout between the holy city of Makkah and the mountain resort of Taif, about 80 kilometres (50 miles) to the east, the ministry said.
Two other suspects killed themselves by detonating suicide belts, it said.
On Friday, the ministry identified the four, saying they had been wanted by police.
Saeed al-Shahrani, 49, was sought in connection with the suicide bombing of a mosque inside a Saudi special forces compound in the southwestern city of Abha last August. Fifteen people died.
He was also wanted over an October suicide bombing which killed two at an Ismaili Shia mosque in the southern city of Najran, and the February shooting of a retired security officer in the Jazan region.
Groups claiming affiliation with the so-called Islamic State claimed those attacks.
Also killed was Mohammed al-Inzi, 46, wanted over suicide bombings at Shia mosques that killed 25 people last May and June.
Police said he was also involved in the November 2014 shooting of seven Shia worshippers, which began the series of attacks allegedly linked to IS in the kingdom.
The other dead suspects were Mubarak al-Dosari, 25, and Adil al-Majmaj, 27.
Majmaj had been arrested in 2013 during a protest demanding the release of Islamist prisoners.
He was an associate of one of two men killed in a shootout with police who foiled a car bombing in Bisha, southwestern Aseer region, on April 29.
The interior ministry said Majmaj ‘disappeared from sight and moved around disguised as a woman -- wearing a suicide belt’.
After Thursday's raid police said they found two suicide belts, 15 other ‘explosive devices’ and six firearms.
During a simultaneous operation at a hideout in the Red Sea city of Jeddah two people were arrested.
Abu Bakr al-Baghdadi, leader of the IS group which has seized territory in Iraq and Syria, has reputedly called Saudi Arabia's Sunni rulers ‘apostate tyrants’ and called on Saudis to rise against them.
The Sunni extremist IS group also considers Shias to be heretics.
