Each year, large numbers of Ethiopians move to the Middle East looking for jobs, often as domestic workers. Saudi Arabia is among the preferred destinations.
"The act of killing innocent civilians is uncalled for, we condemn that," Foreign Ministry spokesman Dina Mufti told reporters, saying he had been informed of the death of three Ethiopian citizens.
Ethiopia announced last week it would repatriate its citizens illegally living in Saudi Arabia after a seven-month amnesty period allowing immigrants to gain legal status expired.
Dina said the government has called for an investigation into the deaths and said that a delegation has been sent to Saudi Arabia to help the repatriation process.
"We have asked also for an investigation into the killings," he said, adding that Addis Ababa had dispatched a team to Saudi Arabia to take care of Ethiopians there, and either register them or bring them home.
Around 200,000 women sought work abroad in 2012, according to Ethiopia's Ministry of Labour and Social Affairs.
Many of those leaving face physical and mental abuse, poor working conditions, low pay and discrimination, the International Labour Organization reports.
Last month, the Ethiopian government said it was barring young women and men from moving to the Middle East, amid reports of widespread abuse.
With 91 million citizens, Ethiopia is Africa's most populous country after Nigeria, but also one of the continent's poorest, with the majority of people earning less than two dollars a day.
Around 27 percent of women and 13 percent of men are unemployed, according to the ILO.