The father, pregnant mother and two daughters of the family lost their lives in the attack on Bani Sayyah region in the province’s border areas early on Saturday, Al-Masirah new website reported.
The province’s border areas are targeted by the Saudi forces on a daily basis and women and children are the main victims.
The Saudi-led coalition has also intensified its airstrikes on Yemen in recent days while it had welcomed a call by the UN Secretary General for a halt to clashes in Yemen.
Saudi Arabia and a number of its regional allies launched a devastating campaign against Yemen in March 2015, with the goal of bringing former president Abd Rabbuh Mansur Hadi and crushing the Houthi Ansarullah movement.
Tens of thousands of Yemenis have died since the beginning of the aggression.
The UN says over 24 million Yemenis are in dire need of humanitarian aid, including 10 million suffering from extreme levels of hunger.