It has long been believed that Iran has held in custody a number of bin Laden's children since they fled Afghanistan following the U.S.-led invasion of that country in 2001 - most notably Saad and Hamza bin Laden, who are thought to have held positions in al Qaeda.
Asharq Al-Awsat newspaper says the 17-year-old daughter, Eman, slipped away from guards and fled to the Saudi Embassy. The report quotes the embassy's charge d'affaires confirming she is there.
Iranian and Saudi officials would not immediately comment.
Bin Laden's fourth oldest son Omar Osama bin Laden, 29, told The Times of London he did not know his family was alive until they called him in November. He lives in Qatar with his wife, Zaina.
The family told him they had fled to Iran from Afghanistan before the 9/11 attacks and were kept in the compound "for their own safety." The children were Saad, 20 at the time, Ossman 17, Muhammad 15, Fatma 14, Hamza 12, Iman 9, and Bakr, 7.
Speculations have arisen before that Muhammad was the second in command of al Qaeda and that Saad had helped plan and execute terrorist attacks until he was killed by an American drone bombing about 18 months ago. But the bin Laden family says Muhammad is still living in the compound and that Saad ran away less than a year ago.
"They are all just innocent victims, just the same as anyone else hurt by the dreadful events of 9/11 and 7/7. These babies and children have never had any education, never hurt a single soul, never trained with any weapons or ever been part of al-Qaeda," bin Laden told the paper. "We just want to be together as a family."