"Nine Saudi prisoners have been recovered and 109 Yemenis who were arrested in the military operations zone" near the border have been handed over, the coalition said in a statement, AFP reported.
The prisoner swap is the latest confidence-building measure in the lead-up to a planned ceasefire and peace negotiations next month.
UN envoy Ismail Ould Cheikh Ahmed announced last week that the parties have agreed to a ceasefire from midnight on April 10, to be followed by peace talks in Kuwait on April 18.
Previous negotiations have failed and several ceasefires were never respected in the year since the Saudi-led coalition began airstrikes in support of Yemen's fugitive ex-president Abedrabbo Mansour Hadi.
But a more conducive atmosphere prevails ahead of the new round of planned talks.
A mediation effort by tribal leaders earlier this month led to the exchange of one Saudi soldier for seven Yemenis detained by Saudi authorities at the border.
More than 90 people have been killed on the Saudi side of the frontier by shelling and in skirmishes over the past year.
But since the tribal mediation the border zone has been relatively calm, the coalition has said.
Yemen has been under military attacks by Saudi Arabia and its allies since March 2015.
The UN says about 6,300 people have been killed in Yemen's war, more than half of them civilians.