A car bomb targeting Yemen's defence minister exploded outside the prime minister's office in Sanaa, killing at least five bodyguards.
Major General Muhammad Nasir Ahmad was said to be safe following the attack in the capital, which came after the death of a senior leader in the Yemeni branch of al-Qaeda last week.
Said al-Shehri was killed, along with six other militants, in what was called a "qualitative operation" by Yemen's army in the remote Hadramout province.
There were conflicting reports on how Shehri died.
A Yemeni security source said Shehri was killed in an operation last Wednesday that was thought to have been carried out by a US drone, rather than the Yemeni military.
US officials declined to comment on whether a drone strike had occurred.
They described Shehri as one of the most important al-Qaeda-linked militants to be released from Guantanamo, where he was taken in January 2002 after being handed over by Pakistan.
A former officer in Saudi Arabia's internal security force, Shehri allegedly joined al-Qaeda and helped to facilitate the movements of Saudi militants seeking to travel to Afghanistan via Iran, according to a classified Pentagon report made public by WikiLeaks.
According to the Pentagon document, Shehri was "assessed to be a high risk" prisoner because "he is likely to pose a threat to the US, its interests and allies."
A US official familiar with the case said Shehri was one of numerous Saudi militants at Guantanamo released by the administration of President George W Bush under heavy pressure from Saudi authorities and the US court system.
Shehri was released to Saudi Arabia in 2007 and put through a Saudi rehabilitation programme for militants.
But he later returned to the battlefield in Yemen, and became Al-Qaeda in the Arabian Peninsula's (AQAP) number two, leading one US official to characterise him as a "poster child for recidivism."
Shehri was wanted by Yemeni authorities for a suspected role in a US embassy attack in 2008.
AQAP, which has planned attacks on international targets including airliners, is described by Washington, which has repeatedly used unmanned drones to target its members, as perhaps al-Qaeda's most dangerous and innovative affiliate.