In the video posted online, Aden's anti-terrorism squad documented its surveillance of the assailant as he approached his target on Saturday in the Tawahi district of the port city.
The video shows the alleged bomber dressed in military fatigues and armed as he walked towards the checkpoint, before a disguised officer shot him dead after getting a tip off from agents in a watching car.
Other officers arrived and quickly stripped off an explosive belt worn by the man whose body was then lying in a pool of blood, the footage showed.
Aden security spokesman Abdulrahman al-Naqeeb said in a statement that police acted on "accurate information that allowed the team to follow the movements" of the would-be bomber.
Aden serves as Yemen's temporary capital since government forces backed by the Saudi-led Arab coalition pushed the rebels out of the port city along with four other southern provinces in the summer of 2015.
The capital Sanaa remains under the control of Huthi rebels since they overran it in September 2014.
Jihadists from Al-Qaeda and the rival Islamic State group have exploited the vacuum caused by the conflict between the government and the rebels to strengthen their control in southern and eastern Yemen.