Residents of the towns of Jaar and Azzan said two Saudis and one Yemeni were beheaded at dawn by militant group Ansar al-Sharia (Partisans of Islamic Law).
Weakened by months of protests against outgoing President Ali Abdullah Saleh, Yemen's government has lost control of whole chunks of the country, giving Islamist militants room to tighten their grip in the south, notably in Abyan province.
The United States, a prime target of al Qaeda's Yemen-based wing, which tried to blow up an airliner over Detroit in 2009, has been launching drone strikes against militants in the south. Last month, at least 12 people were killed in one such attack.
U.S. federal prosecutors said on Friday that Anwar al-Awlaki, a leader of al Qaeda's Yemen affiliate who died in another drone strike last year, had personally directed and approved the attempted airliner attack in which a Nigerian with a bomb hidden in his underpants failed to detonate it fully.