Gunmen in a vehicle opened fire on the prime minister’s motorcade as he returned home from his office, one of his advisers said.
It is the first time Mohammed Salem Basindwa has come under attack, the AFP news agency says, although other members of his cabinet have previously been targeted.
The government is battling militants of al-Qaeda in the Arabian Peninsula.
A senior intelligence officer was killed by suspected militants in southern Labous province late on Friday.
Mohammed Salem Basindwa was a senior opposition figure before being appointed in November 2011 to head the government set up after veteran leader President Ali Abdullah Saleh left power.
One of his aides, Ali al-Sarari, told Reuters news agency security forces were trying to track down the vehicle used in the attack.
Earlier this month, the US and several other Western countries temporarily shut their embassies in Sanaa after reports of an imminent al-Qaeda attack.
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