Two police were killed by gunfire from a car to the east of Buraida, capital of Qassim province, 300 kilometres north of Riyadh, outside a tent city intended for pilgrims on their way to Mecca.
Three more police died when the car's driver opened fire on a roadblock near Al-Midhnab, to the south of Buraida in the same region.
The security forces then gave chase to the car, damaging the vehicle and wounding and arresting the driver.
The driver was identified by security sources on the scene as Mohammed Abdul Rahman al-Suwailmi, who ranks number seven on a list of 36 most wanted militant suspects in Saudi Arabia.
An interior ministry spokesman that al-Suwailmi later died of his wounds.
Witnesses said that two people were in the car, a four-wheel drive, and that a helicopter had been called in to provide aerial surveillance of the area as extra police had been deployed.
The oil-rich kingdom has been locked in a battle to thwart extremists that it says are bent on overthrowing the royal family, since the start of a wave violent clashes and attacks against Westerners in May 2003.
The kingdom has been under pressure to crack down on militancy since the September 11, 2001 attacks on the United States, a strike masterminded by the Saudi-born Osama bin Laden in which 15 out of the 19 suicide hijackers were Saudi.
According to the latest official figures, at least 90 civilians, 49 security personnel and 118 militants have died since the unrest began. Hundreds more have been wounded.
Until now, 27 militants on a 36-strong list of Al-Qaeda suspects remain at large. Authorities said when the list was released in June that 21 of those named were believed to be outside the country.