"During the past two days, two French nationals accused of belonging to Al-Qaeda have been arrested," said national security service chief General Mohammed al-Ahmadi.
Al-Qaeda in the Arabian Peninsula (AQAP) claimed responsibility for a January 7 assault on French satirical weekly Charlie Hebdo in which two Frenchmen killed 12 people.
The perpetrators, brothers Said and Cherif Kouachi, are known to have trained with Al-Qaeda in Yemen, which was formed in 2009 after a merger between militants there and Saudi Arabia.
"There are around 1,000 Al-Qaeda militants in Yemen from 11 Arab and non-Arab countries," Ahmadi told reporters in Sanaa.
Washington regards the Yemen-based franchise as the network's most dangerous branch and has carried out a sustained drone war against its leaders.
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AQAP said the orders to carry out last week's attack had come from the very top of the global jihadist network -- Ayman al-Zawahiri, the Egyptian doctor who succeeded Al-Qaeda founder Osama bin Laden after his death in 2011.
Cherif Kouachi told French media before he was killed by police that a trip he made to Yemen the same year was financed by Anwar al-Awlak, a US-Yemeni cleric killed by a US drone strike in 2011.
AQAP has a record of launching attacks far from its base, including a bid to blow up a US airliner over Michigan on Christmas Day in 2009.
It recently called on its supporters to carry out attacks in France, which is part of a US-led coalition conducting air strikes against jihadists from the Islamic State group in Iraq and Syria.
AQAP's English-language propaganda magazine "Inspire" has urged jihadists to wage "lone wolf" attacks abroad.
AQAP took advantage of an uprising in 2011 against now-ousted president Ali Abdullah Saleh and seized large swathes of territory across southern Yemen, although most of its militants later fled to the east.