The bus left the city of Mandera close to the Somalian border in the morning and was heading for the Kenyan capital of Nairobi when it came under a barrage of fire, the Daily Nation newspaper said.
The gunmen first shot at the tires, prompting the driver to speed off, only to be met with more gunfire, a source at the Moyale Raha bus company told the daily.
Al-Shabaab is based in Somalia but has been attacking Kenya for sending troops to the neighbouring nation as part of an African Union operation to roll it back.