The coalition said that the missile was launched from the Yemeni city of Saada, and several people were slightly injured by the wreckage of the missile when it was destroyed, according to a statement issued via the Saudi Arabian state news agency.
Earlier, the Saudi-led coalition has carried out about 30 air raids on Yemen's four western provinces, according to the Houthi rebel group.
The province of Saada was subjected to six airstrikes by the alliance's air force, according to the movement. At least two air raids targeted al-Jawf province.
Both Saada and al-Jawf border Saudi Arabia.
Yemen has been mired in a conflict between the UN-backed government and the Houthi Shia rebels since 2015. The parties signed a ceasefire agreement in late 2018, which collapsed shortly thereafter.