The Saudis say they do not know who fired the mortars, or from where.
A small Shia militant group in Iraq, known as the Mukhtar Army, has claimed it carried out the attack, although this cannot be confirmed.
The group said it was a warning to Saudi Arabia to stay out of Iraq's affairs.
The militia's commander, Wathiq al-Batat, told Reuters that the goal of the attack "was to send a warning message to Saudis to tell them that their border stations and patrol are within our range of fire".
The mortars fell in an uninhabited area near Hafr al-Batin in the kingdom's Eastern Province.
The mortar fire comes two days after suicide bombers killed more than 20 people outside the Iranian embassy in the Lebanese capital, Beirut.
On Thursday Saudi Arabia advised its citizens to leave Lebanon following those bombs.
The continuing civil war in Syria is fuelling increased tensions between nations in the region.
Saudi Arabia, which is largely Sunni, backs the rebels fighting to overthrow President Bashar al-Assad, whereas Shia Iran and Shia militias in Iraq and Lebanon back the president.
Saudi Arabia and Iraq are investigating an incident in which six mortar bombs landed in a remote area of Saudi Arabia near the border with Iraq and Kuwait.