The ministry said on its news website that Colonel Hamoud Hussein al-Dharhani was shot dead outside his house in the city of Ataq.
Shabwa served as a stronghold of al Qaeda and other militants in recent years, who used the province's rough desert terrain to set up hide-outs and training camps.
The ministry said the authorities were investigating the attack. Yemeni authorities blame al Qaeda for the killings of between 200 and 350 senior army officers in Yemen in the past three years.
Last week, an intelligence officer identified as Colonel Nasser Ahmed was shot dead while driving in the southern city of al-Bayda, while a general escaped a bomb attack on a road his convoy was traveling on near the city of al-Qatan in eastern Hadramout province.
Yemen has been in turmoil since 2011 pro-democracy protests forced long-ruling President Ali Abdullah Saleh to step down, Reuters reported.