A soldier for Yemen’s exiled government opened fire on Saudi troops as they exercised in eastern Yemen, killing two of them and wounding another in a rare insider attack during the kingdom’s nearly decadelong war there, officials said Saturday.

The assault in eastern Hadramawt province comes as a yearslong cease-fire between Saudi Arabia and Yemen’s Houthi rebels largely has held despite the militants’ ongoing attacks against shipping in the Red Sea corridor. While the Houthis did…