The U.S. Embassy had already been operating on a skeletal staff since late January.
The French embassy also said it would close its doors starting Friday due to the security situation.
The troubled Middle Eastern nation has been without clear leadership and potentially on the brink of armed conflict since Houthi rebels seized control of key government facilities, dissolved parliament, and placed the President under house arrest.
President Abdu Rabu Mansour Hadi later resigned in protest.
"The level of instability and ongoing threats in Yemen remain extremely concerning," said a U.S. State Department travel warning
The warning said an "ongoing risk of kidnapping" exists, and the U.S. government is worried about possible terrorist attacks on Americans and Western facilities.
However, there are no plans for a U.S. government-sponsored evacuation of American citizens at this time, the State Department said.
"U.S. government-facilitated evacuations occur only when no safe commercial alternatives exist," it said.
The message from the British Foreign Office was similar. The security situation continues to deteriorate, it said, and "we now judge that our Embassy staff and premises are at increased risk."
It too asked British nationals to leave immediately.
The French Foreign Ministry issued a statement to its citizens in Yemen.
"Given the recent political developments, and for security reasons, the Embassy invites you to temporarily leave Yemen, as soon as possible, via commercial flights at your convenience," the statement said. "The Embassy will temporarily be closed as of Friday, February 13, 2015, until further notice."
It wasn't immediately clear how the embassy closures will affect the work of United States and its allies work in combating Isliamist groups in the country, but the Pentagon says the U.S. military remains active in Yemen.
"They are still capable of conducting counterterrorism operations in Yeman and frankly ... there's some counterterrorism training that's still ongoing ... with Yemeni security forces," said Pentagon spokesman Rear Adm. John Kirby.
"I'd be less than honest if I said that there hadn't been some adjustments already made because of the political uncertainty," he said. "We're just going to have to watch this closely going forward."
Yemen's government has been a key ally in the fight against al Qaeda in the Arabian Peninsula, the Yemen-based group linked to attacks such as the recent slaughter at French magazine Charlie Hebdo.
"They are a very dangerous group," said Kirby. "They do want to threaten Western interests, including U.S. interests and we do consider them a threat to the United States of America. We're watching them very closely."
Late last month, Meda Al Rowas, a senior analyst at IHS Country Risk, told CNN that unless Hadi is reinstated, the chances of the country avoiding armed conflict are slim.
"Our forecast is really civil war in Yemen because we have a lot of nonstate armed groups who are likely to compete over territory and have a lot of competing agendas," she said.
The Houthis -- Shiite Muslims who have long felt marginalized in the majority Sunni country -- have taken control of Sanaa and the northern provinces of Amran and Sadaa.
But there has already been resistance to their attempted takeover of national government institutions from different groups in Yemen, particularly in the south, where there's a long-running secessionist movement, and in the oil-rich province of Marib to the east of Sanaa.
There are currently no talks with the Houthis, but there are discussions about whether to talk to them, U.S. officials said last month.