Insurgents detonated a bomb hidden by a bridge in the Raman district of Yala province as six policemen travelled on the road in a pickup truck.
The blast overturned the truck, sending it plunging into a canal and killing four of the policemen immediately.
Another died on the way to hospital while a sixth was in a critical condition there.
After the attack an unknown number of insurgents seized a dozen firearms including pistols and machine guns.
The police had been deployed to protect teachers who have been frequent targets of militants.
A shadowy insurgency, without clearly stated aims, has raged in Thailand's three southernmost provinces -- Pattani, Narathiwat and Yala -- since 2004.
Daily bomb or gun attacks have targeted soldiers and civilians, Buddhists and Muslims, claiming more than 5,000 lives in eight years.
A state of emergency is in force in the worst-affected parts of the region which rights campaigners say gives tens of thousands of military troops based there legal immunity, fuelling rights abuses.
Authorities had warned that militants were likely to step-up attacks during the Islamic holy month.