The Houthi faction has denied Saudi media reports of an attack, according to Reuters.
A spokesperson for the Saudi-led coalition in Yemen reported that the Saudi air defence neutralized "aerial targets" flying over areas in the Jeddah and Taif provinces, Reuters reported.
This is not the first time the Saudi military has reported a missile interception over their territory.
Earlier, local media reported that Yemen's Shia Houthi rebels intended to attack some 300 critical infrastructure facilities in Saudi Arabia and the United Arab Emirates.
The SABA news agency reported at the time that the Houthis would attack 299 additional targets, including military and strategic facilities in Saudi Arabia and the United Arab Emirates. The report followed drone attacks against Saudi Arabia's oil facilities on Tuesday.
Yemen has been engulfed in an armed conflict between the government forces led by President Abd Rabbuh Mansur Hadi and the Houthi rebels for several years. The Saudi-led coalition has been carrying out airstrikes against the Houthis at Hadi's request since March 2015.