A Frenchman was killed on Monday and another was wounded when gunmen fired on their car in a diplomatic district in Sanaa, a security official told AFP.
The two worked for a private security firm guarding the EU delegation to Yemen, which in recent months has seen a rash of attacks targeting foreigners in the capital.
Private security firm Argus Security Projects confirmed that one of its French personnel had been killed in an attack.
One of its teams that included two French nationals "was attacked by unidentified heavily armed gunmen" as it protected a diplomatic mission in the Yemeni capital, the statement posted on the company's website said.
"We are deeply sad to announce the death of one of our colleagues, while the other colleague has been seriously injured and is currently being treated," the Cyprus-based company said in a statement, without elaborating further.
Their Yemeni driver was also wounded in the attack, the security official said, adding that the assailants fled.
French President Francois Hollande called the attack "cowardly" and said his government would use "all its powers to shine a light on the circumstances of this odious act so that its authors are rapidly identified".
The victim "was working for a private security company" and was "on mission for the European Union delegation in Yemen," Foreign Minister Laurent Fabius said in a statement.
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The EU's foreign representative, Catherine Ashton, labelled the killing "evil and senseless".
"I condemn in the strongest terms the killing today, in Sanaa, of a member of the team providing security to the EU Delegation and the wounding of two others," Ashton said in a statement.
Authorities have launched an investigation into the attack, which took place a few hundred metres (yards) from the French embassy, said the official, who could not immediately provide details on a possible motive.
Foreign diplomats, mainly Europeans, have increasingly come under attack in Sanaa.
A German diplomat was wounded in the city on April 28 as he evaded an attempt by gunmen to kidnap him in the same district.
Last October, a German embassy security guard was killed as he resisted a kidnapping attempt.
Two Britons and a German were kidnapped in January and February respectively.
Yemen, a deeply tribal country where most men are armed, is home to Al-Qaeda in the Arabian Peninsula, which is seen by Washington as the most potent franchise of the global network after being linked to a number of attempted attacks on the United States.
Al-Qaeda militants hold captive Saudi diplomat Abdullah al-Khalidi, who was kidnapped from the southern city of Aden in March 2012, and Iranian diplomat Nour-Ahmad Nikbakht, kidnapped in July 2013 from Sanaa.