The Yemeni militia group's missiles targeted "economic and vital targets" in the southern Saudi province of Jizan on Saturday, Houthi-run news agency Saba has reported.
The Saudi defense ministry confirmed that four missiles bound for Jizan had been intercepted, according to Saudi Arabiya TV.
Saudi Arabia and a coalition of mostly Gulf states have been involved in a military operation in Yemen since March 2015. The operation is aimed at restoring the government of Abdrabbuh Mansur Hadi, who was toppled in a series of uprisings in 2014 and 2015 by the Houthi rebels and fled to Riyadh. The coalition has suffered a series of setbacks in recent months, with Houthis reportedly launching ballistic missiles and drones into Saudi Arabia and attacking coalition warships.
The war in Yemen has led to thousands of deaths, displaced over three million people, and pushed the country to the verge of famine.