An attack on the embassy in September involving gunmen and explosives-packed vehicles killed 17 people, including six militants. Al-Qaida later claimed responsibility for that attack.
A U.S. Embassy spokesman could not be reached for comment on Monday night's shooting.
Earlier, a Yemeni security official said the U.S. Embassy received a telephone call and an e-mail early Monday saying the U.S. and Russian embassies would be targeted by al-Qaida within a few hours.
The U.S. Embassy confirmed receiving a threat about a potential attack on its compound, and security measures were heightened in the capital, San'a. Attempts to contact the Russian Embassy were not successful.
U.S. Embassy spokesman Ryan Gliha said earlier in the day that the embassy was urging American citizens to exercise caution in Yemen. He said the embassy received a threat "regarding a possible attack that could take place in the foreseeable future" but gave no further details.
Throughout the day, police were seen setting up security checkpoints and turning back cars and pedestrians on two key streets heading toward the U.S. Embassy in eastern San'a. There were also checkpoints around the Russian Embassy in downtown San'a, but traffic was not disrupted.
The U.S. Embassy also issued a warden message to Americans in Yemen advising them to be cautious and take "prudent security measures in all areas frequented by Westerners."
Yemen is the ancestral homeland of Osama bin Laden and has an active al-Qaida presence, despite government efforts to destroy the terror network, which has purportedly set up training camps in the country.
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