They told the militants “to kill them together or leave them alone”, a local governor told Kenyan media.
At least two people were killed in the attack, near the north-eastern village of El Wak on the Somali border.
The Somali based al-Shabab group says it carried out the attack.
The group often carries out attacks in Kenya’s north-east.
The bus was travelling from the capital Nairobi to the town of Mandera.
When al-Shabab killed 148 people in an attack on Garissa University College in April, the militants reportedly singled out Christians and shot them, while freeing many Muslims.
Last year, a bus was attacked near Mandera by al-Shabab militants, who killed 28 non-Muslims travelling to Nairobi for the Christmas holidays