Fired from inside Yemen just before dawn, air defenses stopped the missile from reaching the kingdom's southern Jazan district, the coalition said in a statement.
"Air forces immediately destroyed the launch pad inside Yemen," the coalition said.
The attack was only the most recent in the consistent fighting, despite a seven-day ceasefire in conjunction with peace talks in Switzerland. Ground skirmishes in Yemen have also continued.
On Saturday, three civilians died when shellfire from Yemen struck the border city of Najran. A day earlier, the coalition said Saudi air defenses intercepted a ballistic missile launched from Yemen. A second missile struck a desert area east of Najran city, the Associated Press reported.
Those attacks came after a local source reported that on September 13 a missile struck a desert area of the kingdom's southern region, causing no damage.
Peace talks between Yemen's Saudi-backed government and the Iran-backed Shia Houthi opposition faction concluded on Sunday without a breakthrough, hours before the latest missile attack.
The ceasefire will be extended for another seven days after it officially expires on Monday, said the head of the Yemeni government negotiating team.
On Friday Saudi Arabia's Border Guard force repeated a warning that residents should stay away from the frontier between the two countries. Coalition warplanes and troops have been supporting forces in Yemen loyal to President Abedrabbo Mansour Hadi against the Houthis and troops loyal to former president Ali Abdullah Saleh.
More than 80 people, most of them soldiers and border guards, have been killed in shelling and cross-border skirmishes in the kingdom's south since coalition operations began in Yemen in March.
