Mohamed Qahtan of the Islamist Islah Party told Reuters he had received threatening phone calls and that letters calling him a rabid dog and a traitor were left at his door.
Government officials declined to comment.
One letter, published on an opposition Web site, described Qahtan as an “Islah rabid dog whose end will be like that of any rabid dog or any traitor to his homeland and people”.
Yemen’s opposition parties have often demanded the government crack down on rampant corruption, which they blame for their poor country’s economic problems.
The World Bank, which is overseeing Yemen’s halting economic reforms, and donor nations have also called on the government to end graft as one of several measures to woo investors.
Last month, Qahtan took part in several opposition rallies and debates during which he said the government was not doing enough to battle corruption. He also gave an interview to Arabic television Al Jazeera on the topic.
Qahtan is also a vocal critic of Yemeni President Ali Abdullah Saleh.