"There were no casualties as a result of the interception," said the spokesman of the Saudi-led coalition fighting the Houthis, Colonel Turki al-Maliki.
Saudi Arabia is regularly targeted by rebels from within Yemen who carry out missile launches.
Earlier this month, Al Arabiya TV reported that Saudi Arabian air defenses intercepted two missiles fired by Yemen's Houthi group at Saudi southern Jizan province.
Yemen has been engulfed in a violent conflict between the government and the Houthis. Since March 2015, the Saudi-led coalition of mostly Gulf countries has been carrying out airstrikes against the Houthis at the Yemeni government's request.