According to reports, a blast near a guest platform went off during a military parade.
A source in the province said that the cause of the explosion was a drone filled with explosives.
Some media outlets report that the blast at the military parade killed five.
According to the source, the drone exploded over the podium, where a military parade was being held at al-Sumud Stadium in the city of al-Dhalea.
Nobody has claimed responsibility for the attack yet.
Yemen has been engulfed in an armed conflict between the government forces, led by President Abdrabuh Mansour Hadi, and the rebel Houthi movement for several years now. A Saudi-led coalition has been carrying out airstrikes against the Houthis at Hadi's request since March 2015.
The conflict has resulted in a massive humanitarian crisis in the war-torn country. Meanwhile, a UN report has said that if the conflict lasts through 2022, Yemen could become the poorest country in the world.